This repository contains a reproduction of the research A uniformly distributed random portfolio, which was originally published in Quantitative Finance. Please note that this is not an official repository maintained by the original authors.

In this reproduction, we aim to recreate the experiments and results reported in the original research paper. We follow the methodology described in the paper as closely as possible, using the similar dataset. The data used in the following code is different from the data used in the paper, so the results may not be completely identical. As the official code has not been released yet, please report any incorrect parts

The repository contains code for reproducing the experiments in the paper. All reproducible experiments are available in the form of Jupyter notebooks. Specifically, it includes:

• Chap 2.1 to 2.2 Probability distribution of Sharpe ratio of uniformly distributed random portfolio
• Chap 2.3. A uniformly distributed random portfolio with no-short constraint

• We will update the UDRP to reflect the no short constraint as soon as possible.
• We will update the .py version.

We welcome contributions to this repository, such as bug fixes or enhancements to the code. Please create a pull request with your changes, and we will review them as soon as possible.

If you have any questions or want to use the code, please contact [email protected].

We would like to express our gratitude to the authors of the original research paper for their important contributions to the field.

The original research paper was authored by:

• Yongjae Lee, Department of Industrial Engineering, Ulsan National Institute of Science and Technology (UNIST)
• Woo Chang Kim, Department of Industrial and Systems Engineering, Korea Advanced Institution of Science and Technology (KAIST)