To calculate portfolio returns

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Qian cao
Qian cao 2015-11-16
回答： Guillaume 2015-11-16
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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Guillaume
Guillaume 2015-11-16
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)))

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