Indexing in a for loop

1 visualización (últimos 30 días)
civs
civs el 12 de Ag. de 2014
Comentada: civs el 12 de Ag. de 2014
This is a code for daily portfolio rebalancing. I would like to rebalance every 10 days instead. How can I do that? Thanks!
.......................................................................
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

Respuestas (1)

Joakim Magnusson
Joakim Magnusson el 12 de Ag. de 2014
I'm not sure i understand but maybe this will work for you:
for i= 1001:10:n-1
  1 comentario
civs
civs el 12 de Ag. de 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!

Iniciar sesión para comentar.

Categorías

Más información sobre Portfolio Optimization and Asset Allocation en Help Center y File Exchange.

Community Treasure Hunt

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

Start Hunting!

Translated by