I have to write [sum(W) should equal 1] within a function. W is an 8 element vector.
When I try to write: if sum(W)==1
the function stops working. I have tried many variations of this but none of them work. Currently the sum of W is equal to 1.
How can I put this condition in the function?
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I think all you need to do is to pass the value A,B,C,D,E,F,G,H,W when you call this function. It has got nothing to do with sum. Also, the code that you have posted here has a semi-colon after if statement which is wrong. If its just a typo then its ok.
For some reason your function is returning before it ever gets to the "RARV=-(ER)/sqrt(V);" line so RARV (which is required to be defined because it needs to be returned) never gets defined.
I have an idea - why don't you use the debugger to step through your code? http://blogs.mathworks.com/videos/2012/07/03/debugging-in-matlab/ You will quickly see which lines of code get executed and which don't.
@Andrew on the similar lines as @Image Analyst - I think your return value is not assigned because you don't enter the if-condition branch.
So why don't you replace the code, using an assertion, and eliminating the if-else-end statement.
T=length(A); %Time period, the same for all assets SW=sum(W);
assert( abs( SW - 1.0000) < 1e-3, 'sum(W) does not add to 1')
DD=[A-mean(A), B-mean(B), C-mean(C), D-mean(D), E-mean(E), F-mean(F), G-mean(G), H-mean(H)]; %Temporal, needed for covariances Cov=DD'*DD/T;
%Portfolio expected returns ER=[mean(A), mean(B), mean(C), mean(D), mean(E), mean(F), mean(G), mean(H)]*W(1,:)';
%(Negative) risk adjusted return RARV=-(ER)/sqrt(V); %Change V to sqrt(V) for semi-standard deviation end
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