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3

First of all, it is not conceivable to do all that work by hand! You are crazy to have just thought it! Second, if you want to repeat your work with different datasets, I suggest you to use R, since, once you have written a script, you can use it all the times you want. But, there's a 'but': you cannot think we are going to write some code for you (you ...


2

Just a heads up, I'm not going to go through all the mathematical caveats of using this approach. Let $\Sigma$ be your covariance matrix, and $X$ a random vector of daily returns. So $$\text{Var}(X) = \Sigma.$$ You have a bug in your code. In your code you call it pxCov, but you probably meant to use cov() insted of cor(). Check out the documentation to ...


1

The last 2 calls must be changed from library(portfolio.r) library(portfolio_noshorts.r) to source(portfolio.r) source(portfolio_noshorts.r) The correct files must be availbale at http://faculty.washington.edu/ezivot/econ424/



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