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Kevin van Berkel


35 total contributions since 2013

student msc finance

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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

0

answers

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

0

answers

Answered
Adding a extra variable to a model
Thanks Matt! Solved it.

3 years ago | 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

2

answers

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

1

answer

Answered
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

2

answers

Answered
B must have same rows of A
Solved it!

3 years ago | 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...

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. ...

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

4

answers

Answered
Index out of bounds
Works now. Thanks Azzi!

3 years ago | 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

2

answers

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

0

answers

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

0

answers

Answered
Not enough input arguments
No worries!

3 years ago | 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: ...

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...

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...

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

6

answers

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

0

answers

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

0

answers

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)...

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

0

answers

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

1

answer

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...

3 years ago | 0

Answered
Loop for nested matrix multiplication
*Relocated to Comment by Matt J*

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

5

answers

Answered
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

2

answers

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