To calculate portfolio returns

Question

Qian cao 2015-11-16

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https://ww2.mathworks.cn/matlabcentral/answers/255036-to-calculate-portfolio-returns

回答： Guillaume 2015-11-16

采纳的回答： Guillaume

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Hi, I have a question regarding the matrix multiplication with NaN cells in the matrix.

The two matrix are

W1= [0.1 0 0.9; 0 1/3 2/3; 1/3 1/3 1/3;0.2 0.4 0.4];
r=[0.2 0.1 NaN; -1 0 NaN; NaN 0.2 0.2; NaN 0.1 0];

The rows represent the time series. What I need is to get the vector R(t) which is the multiplication of W1(t-1)*r(t). That is R(2)=W1(1)*r(2)=[0.1 0 0.9]*[-1 0 NaN]=-0.1, R(3)=W1(2)*r(3)=[0 1/3 2/3]*[NaN 0.2 0.2]=0.2 and vice verse .I did it in the following way but the results do not show up as expected....Note: treat the NaN values as zeros:

for t=1:size(W1,1)
    R(t,1)=W1(t-1,:)*returnm(t,:)';
end

Thank you very much for your help. I am waiting for that.

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Answer 1

Guillaume 2015-11-16

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If you want to treat the NaNs as zero, make them zero:

r(isnan(r)) = 0;

Your calculation is then simply

R = [NaN; sum(W1(1:end-1, :) .* r(2:end, :), 2)] %no loop needed

I've put NaN for R(1) since you haven't specified in your description what it should be. Personally, I would simply change the offsets of R (i.e. have R(1) = sum(W1(1) .* r(2)))