Nested for loop portfolio optimization

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Kevin van Berkel
Kevin van Berkel 2013-5-2
Hi guys,
I am probably doing something utterly silly which holds me back from retrieving the desired results.
I have two matrices: Matrix(A), which is a vector containing returns from three risky assets, and Matrix C, which consists of optimally genereated weights of those risky assets. To obtain the return, I wrote the following loop:
for i = 1:155
for j = 1:155
returns = A(i,:)*C(j,:)'
end
end
This code yields a 1x155 matrix, exactly as I asked for, But, the answers are not correct.
Does anyone have a clue what I do wrong here?
Thanks for the effort!
Cheers,
Kevin
  2 个评论
Matt J
Matt J 2013-5-2
The code you've shown returns a scalar, not a 1x155 vector. You should show us the code you're actually using.
Kevin van Berkel
Kevin van Berkel 2013-5-3
Hi Matt, thanks for your response.
s = size(A);
C = zeros(s);
for j1 = 1:s(1)
C(j1,:) = A(j1,:)*B((j1-1)*s(2)+1:j1*s(2),:);
end
and this yields me the the weight's vector 'C'. 'A' is also a 155x3 vector. So I only need to multiply every row with the transpose of the other vector. E.G. A(row 1,col 1-3)*C'(row 1, col 1-3)
Hope this clarifies my question. Thanks!

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回答（1 个）

Kevin van Berkel
Kevin van Berkel 2013-5-3
Hi Matt, thanks for your response.
s = size(A);
C = zeros(s);
for j1 = 1:s(1)
C(j1,:) = A(j1,:)*B((j1-1)*s(2)+1:j1*s(2),:);
end
and this yields me the the weight's vector 'C'. 'A' is also a 155x3 vector. So I only need to multiply every row with the transpose of the other vector. E.G. A(row 1,col 1-3)*C'(row 1, col 1-3)
Hope this clarifies my question. Thanks!

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