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location Chicago, IL
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visits member for 1 year, 8 months
seen Jun 14 '13 at 18:58

I am a beginner R user and am interested in quantitative finance.


Sep
24
awarded  Autobiographer
Apr
22
comment portfolio optimization with a loop
Firstly, I revised the code some so please use the new code versus the old. What I have now for vector w and v is daily minvar port weights and values. The portret variable contains dates and each date corresponds to a row number in my vectors w and v. What I would like is just the values from w and v that correspond to the last day of the year in portret from 1990-2010 i.e. 1990-12-31, 1991-12-31... 2010-12-31. One of the reasons this is so challenging for me is that each year has a different number of trading days and the last day of the trading year may be the 31st, 30th, 29th...
Apr
22
awarded  Editor
Apr
22
revised portfolio optimization with a loop
deleted 23 characters in body
Apr
22
awarded  Student
Apr
22
comment portfolio optimization with a loop
I actually just rewrote some of this code which answered one of my questions. I replaced j with i when populating the weight and value vectors while also making the necessary changes before the loop as well. This still leaves me with the fact that these are daily weights. I would like them annually...
Apr
21
asked portfolio optimization with a loop