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Portfolio Probe

Description:

Portfolio Probe is a financial software program from Burns Statistics that can generate random portfolios and optimize portfolio trades. It runs in the R language (and also in S+).

Key Functionality

  • Generate random portfolios (obeying a set of constraints)
  • Perform portfolio optimization
  • Perform utility-free portfolio optimization

Random Portfolios

Random portfolios are extremely useful and can change your fund management practice dramatically. They can be used by people in a number of roles.

My job is …

Example applications

Random Portfolios in Finance.

Optimally Select a Portfolio Trade

There is a choice of optimization along traditional lines using expected returns and variance matrices, or minimizing the distance to an ideal target portfolio—so-called utility-free optimization.

Portfolio optimization

Utility-free portfolio optimization

The R Language

The R language is an ever-increasingly popular environment for analyzing data and performing graphics. It is ideal for using random portfolios.

Some hints for the R beginner

Frequently Asked Questions

News

Brief description: Portfolio Probe generates random portfolios — use them to dramatically improve your fund management practice.

Tags:

Website: http://www.portfolioprobe.com

Burns Statistics wrote a new blog post titled Burns Statistics, Portfolio Probe and the use of Random Portfolios in the group Portfolio Probe
Portfolio Probe is a financial software program from Burns Statistics that can generate random portfolios and optimize portfolio trades. It runs in the R language (and also in S+). Key Functionality - Computing Engine - Implementing Constraints - Generate Random Portfolios - Portfolio Optimisation - Managing Transaction Costs - Utility-Free Optimisation What are random portfolios? The idea of random portfolios is that they are a random sample of all of the portfolios that satisfy a given set of constraints. Suppose that our universe of assets is the stocks contained in the S&P...
2436 days ago