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Indexing in a for loop

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civs
civs on 12 Aug 2014
Commented: civs on 12 Aug 2014
This is a code for daily portfolio rebalancing. I would like to rebalance every 10 days instead. How can I do that? Thanks!
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Rets=data(:,[2,3,4,5,6]); % All returns for the period under research
n= length(Rets);
% i represents the day number in the loop
% Amount invested is 1000 USD which is fixed at day 1001
for i= 1001:n-1
% Determine weights of global min-var portfolio
wmin_var{i-1000}= mean_var_portopt2(-10, Rets (i-1000:i-1,:));
PR_min_var(i+1)= Rets(i+1,:)* wmin_var{i-1000};
% Compute tomorrow's portfolio value as
V_min_var(1001)=1000; % first value is fixed
V_min_var(i+1)= V_min_var(i)*(PR_min_var(i+1)+1);
end

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Answers (1)

Joakim Magnusson
Joakim Magnusson on 12 Aug 2014
I'm not sure i understand but maybe this will work for you:
for i= 1001:10:n-1

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civs
civs on 12 Aug 2014
Thanks! yeah I was thinking the same, I need to try that. In that case I would also have to change the index inside the loop to:
% Determine weights of global min-var portfolio
wmin_var{i-1000}= mean_var_portopt2(-10, Rets (i-1000:i-1,:));
PR_min_var(i+10)= Rets(i+10,:)* wmin_var{i-1000};
% Compute tomorrow's portfolio value as
V_min_var(1001)=1000; % first value is fixed
V_min_var(i+10)= V_min_var(i)*(PR_min_var(i+10)+1);
I am running the code for the daily rebalancing and it's taking some time. As soon as it finishes running I will try your suggestion. Thanks Joakim!

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