Question

How to turn this script into a three assets strategy?

Hello all, I need some help to turn this script in a three assets (two risky assets, 1 riskfree asset) strategy. http://ww...

3 years ago | 0 Answers | 0

Question

Dynamic portfolio optimization problem

Hi all, To compute the portfolio weights of 2 risky and 1 risk-free asset, I took the following steps: For the risky asset...

3 years ago | 0 Answers | 0

Question

Adding a extra variable to a model

Hi guys, I have the following model: function [R_e, dp] = VAR_CRSP(M,T,r_f); ...

3 years ago | 2 Answers | 0

Question

plotting the outcomes of a matrix

Goodmorning all! I would like to plot the outcomes of my matrix and I need your help on this one. I've got a matrix, "x1"...

3 years ago | 1 Answers | 0

Answered

Index exceeds matrix dimensions

This should capture the multiple assets included.. But it's more a gues..

Index exceeds matrix dimensions

This should capture the multiple assets included.. But it's more a gues..

3 years ago | 0

Question

Index exceeds matrix dimensions

Hello all, Anyone knows what goes wrong? I receive this error: Index exceeds matrix dimensions. on the following code:...

3 years ago | 2 Answers | 0

Answered

B must have same rows of A

So, X = [ones(M,1); z(t,1); z(t,1).^2]; abeta = bisquare(X, r(:,t+1),k); in here the problem must be somewhere, since...

B must have same rows of A

So, X = [ones(M,1); z(t,1); z(t,1).^2]; abeta = bisquare(X, r(:,t+1),k); in here the problem must be somewhere, since...

3 years ago | 0

Answered

B must have same rows of A

Hi Cyclist, Sorry for my late response. I tried numerous ways to resolve it, even with lscov but it still does not work. ...

B must have same rows of A

Hi Cyclist, Sorry for my late response. I tried numerous ways to resolve it, even with lscov but it still does not work. ...

3 years ago | 0

Question

B must have same rows of A

Hi guys, I constantly receive these errors: Error using lscov (line 105) B must have the same number of rows as A. ...

3 years ago | 4 Answers | 0

Question

Index out of bounds

Hi guys, I need your help once more! The error is: index out of bounds because size(z)=[22719,1]; So this is my code w...

3 years ago | 2 Answers | 0

Question

Vector auto regressive (VAR) model with 2 endogeneous variables to V(AR) model with one endogenous variable

Hi Guys, I'm trying to apply my data to a study and I use matlab to resolve my problem. The thing is that I want to transfer ...

3 years ago | 0 Answers | 0

Question

Transfer a risky asset and a risk-free asset to a Vector Auto Regression (VAR) model in matlab

Hi all, For my research, I need to transfer the returns from a risk-free asset and a risky asset (mom) to a vector auto regre...

3 years ago | 0 Answers | 0

Answered

Not enough input arguments

Thanks Robert you really helped me out, got a nice 1000*20 matrix which contains numbers! Still got some questions though: ...

Not enough input arguments

Thanks Robert you really helped me out, got a nice 1000*20 matrix which contains numbers! Still got some questions though: ...

3 years ago | 0

Answered

Not enough input arguments

Hi, I adjusted the code in this way, according to Robert: It looks like this now and it is actually running: function...

Not enough input arguments

Hi, I adjusted the code in this way, according to Robert: It looks like this now and it is actually running: function...

3 years ago | 0

Answered

Not enough input arguments

Hi guys, thanks for your quick replies! To Robert: My purpose is to simulate stock returns according to a VectorAutoReg...

Not enough input arguments

Hi guys, thanks for your quick replies! To Robert: My purpose is to simulate stock returns according to a VectorAutoReg...

3 years ago | 0

Question

Not enough input arguments

Hi all, the following code yields me this error: Not enough input arguments in line 1. this is the code: function ...

3 years ago | 6 Answers | 0

Question

Var model asset path simulation

Hi all, I am trying to replicate a study applied to my own data. This is the case: I have a portfolio which contains a...

3 years ago | 0 Answers | 0

Question

Dynamic asset allocation with the following code

Hello all, Thanks to Semin, I obtained this code from file exchange: function [Yiv, Eiv] = indivfc(X, y, m, rol, lag, di...

3 years ago | 0 Answers | 0

Answered

Nested for loop portfolio optimization

Hi Matt, thanks for your response. s = size(A); C = zeros(s); for j1 = 1:s(1) C(j1,:) = A(j1,:)*B((j1-1)*s(2)...

Nested for loop portfolio optimization

Hi Matt, thanks for your response. s = size(A); C = zeros(s); for j1 = 1:s(1) C(j1,:) = A(j1,:)*B((j1-1)*s(2)...

3 years ago | 0

Question

How can I make a dynamic portfolio allocation with the following code?

Hello all, Thanks to Semin, I obtained this code from file exchange: function [Yiv, Eiv] = indivfc(X, y, m, rol, lag, di...

3 years ago | 0 Answers | 0

Question

Nested for loop portfolio optimization

Hi guys, I am probably doing something utterly silly which holds me back from retrieving the desired results. I have two m...

3 years ago | 1 Answers | 0

Answered

Loop for nested matrix multiplication

Hello Matt, thanks for your effort but Andrei's solution is more suitable to me. Andrei, thanks again, got it running perfec...

Loop for nested matrix multiplication

Hello Matt, thanks for your effort but Andrei's solution is more suitable to me. Andrei, thanks again, got it running perfec...

3 years ago | 0

Question

Loop for nested matrix multiplication

Hello guys, My problem is the following. I have two matrices: a 155*3 matrix and a 465*3 matrix. I have to multiply each...

3 years ago | 5 Answers | 0

Answered

Inverse of a covariance matrix (loop)

Andrei you are a legend. Works perfect, thank you very much!

Inverse of a covariance matrix (loop)

Andrei you are a legend. Works perfect, thank you very much!

3 years ago | 0

Question

Inverse of a covariance matrix (loop)

Hi all, I am stuck to create a loop which yields inverse of covariance matrices. Data description: I have the returns o...

3 years ago | 2 Answers | 0