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+).

About Portfolio Probe

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

There’s More

There is a lot more information on the site, including the full documentation set. But the FAQ may more directly address your initial questions.

Frequently Asked Questions