b***k
发帖数: 2673 | 1 ☆─────────────────────────────────────☆
littletshirt (小仙鹤) 于 (Tue Oct 28 16:58:17 2008) 提到:
a) how to simulate uniformly distriuted portfolio weight w_i, i=[1,N], given the
constraints sum(w_i) = 1, and w_i >=0. N is constant.
b) now assume each holding in the portfolio has an attribute x_i, and x_i is
uniformly distributed in [0,1] and independent of w_i. What's the
distribution of sum(w_i*x_i).
many thanks.
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littletshirt (小仙鹤) 于 (Tue Oct 28 17:1 |
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