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+).
- Generate random portfolios (obeying a set of constraints)
- Perform portfolio optimization
- Perform utility-free portfolio optimization
Random portfolios are extremely useful and can change your fund management practice dramatically. They can be used by people in a number of roles.
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.
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.
There is a lot more information on the site, including the full documentation set. But the FAQ may more directly address your initial questions.