How do I obtain a variance-covariance matrix?

5 views (last 30 days)
Calum Crichton
Calum Crichton on 26 Jan 2016
Commented: jgg on 27 Jan 2016
I am trying to maintain the variance-covariance matrix of a 10 asset portfolio of stocks. The data is represented by a column of returns for 10 stocks. I.e.
Stock A Stock B
Return 1 Return 1
Return 2 Return 2
Etc Etc
When I upload my data I have tried the cov(data) function but it will not work. I keep receiving this message:
"Undefined function 'sum' for input arguments of type 'dataset'.
Error in cov (line 154) xc = bsxfun(@minus,x,sum(x,1)/m); % Remove meanUndefined function 'sum' for input arguments of type 'dataset'.
Error in cov (line 154) xc = bsxfun(@minus,x,sum(x,1)/m); % Remove mean"
My question is how do I proceed with finding the average returns of each stock and the variance-covariance matrix?
  3 Comments
Calum Crichton
Calum Crichton on 26 Jan 2016
The imported file is an excel, xlsx, spreadsheet. Label names are only in the first row of every column, which Matlab recognises by default. So I'm unsure why I can't obtain the information I want
jgg
jgg on 27 Jan 2016
No, what is the data type of the information you've loaded in. It looks like you're passing the entire dataset object, instead of just the data, but I can't tell without seeing your code.

Sign in to comment.

Answers (0)

Categories

Find more on Portfolio Optimization and Asset Allocation in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!