Please somebody help me!

Hello everybody,

I face this streange problem

i try to find opportunity cost measure for my portfolio and i run this code:

function [opcost] = expopportcost(Retwv,Retnv,g)
i = 0;
exponential_utility_wv = -exp(-(1+Retwv).*g)./g;
expected_utility_wv = sum(exponential_utility_wv)/length(Retwv);
for theta = -0.5:0.0001:0.5
  exponential_utility_nv = -exp(-(1+Retnv+theta).*g)./g;
  i = i+1;
  objective_function(i) = abs(expected_utility_wv - sum(exponential_utility_nv/length(Retwv)));
end 
[val, position] = min(objective_function);
theta = -0.5 + 0.0001*(position-1);
opcost = theta;
end 

Its for exponential utility and Retwv = xlsread("file1.xlsx") and Retnv=xlsread("file2.xlsx") ......the returns for two assets and g=2 (risk averse coefficient) i define the g.

when i run the code with monthly retuns = 38 monthly observations everything is fine!

but when i run the code with daily returns = 755 daily observations always the "val = NaN" and the result is -0.5 which is wrong!!!

i change only the returns in excel files ....i tried to change the format of values in excel but i think this is not problem...

Why this happend? i need help immidiately!

thanks in advance!!

[Walter Roberson]

-0.5 exactly or that minus 0.0001?

[Panos Raptis]

-0.5

because val = NaN and position = 1

so theta=-0.5

thanks for the reply

[Walter Roberson]

Can you attach the files?

[Panos Raptis]

im sorry for the delay response

i attach the files with returns monthly and daily for two assets

g=2

if you run monthly everything its fine

but when you run daily val=NaN and position=1 and theta = -0.5

Answer 1

[Walter Roberson]

Line 265 of your Retnv_daily.xls file contains 'RP' instead of a number and so is being replaced with NaN.

You might want to add the 'omitnan' flag to your sum() calls.

[Panos Raptis]

yes my wrong when i copy the values, but its same the result is -0.5.....i substitute the rp with number

[Walter Roberson]

With the revised file, I get 0.0025 for the daily.

[Panos Raptis]

yes you are right ....i will check it again beacuse i have many files with returns and i had the same result.

thanks a lot for your time!!