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- # read post: http://www.reakkt.com/2012/10/how-to-generate-save-investment-strategy.html
- k <- 500 # liczba strategii
- n <- 500 # dlugosc okresu modelowania
- x <- matrix(NA,n,k)
- for (i in 1:k) x[,i] <- rnorm(n,mean=runif(1,0.01,0.05),sd=runif(1,1,6))/100
- range(cov(x))
- x <- sapply(1:k, function(i) cumsum(x[,i]))
- y <- rowSums(x)
- par(mfrow=c(2,1))
- matplot(x,type="l",lty="solid",xlab="time",ylab="return")
- plot(y,type="l",xlab="time",ylab="return")
- par(mfrow=c(1,1))
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