Indexing in a for loop
5 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
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
0 Kommentare
Antworten (1)
Joakim Magnusson
am 12 Aug. 2014
I'm not sure i understand but maybe this will work for you:
for i= 1001:10:n-1
Siehe auch
Kategorien
Mehr zu Portfolio Optimization and Asset Allocation finden Sie in Help Center und File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!