Creating return series of double-sorted portfolios

2 ビュー (過去 30 日間)

Andreas S 2020 年 10 月 15 日

Hello everyone!

We have two sorting matrices: (B/M)bm=[362x500] and (Past Returns)ret=[362x500].

I should create 9 portfolios from the two sorting matrices according to the following table(percentiles):

I should end up with the monthly return series of 9 portfolios starting from Jan 1990 to Dec 2019

Help Center および File Exchange で Portfolio Optimization and Asset Allocation についてさらに検索

Find the treasures in MATLAB Central and discover how the community can help you!

Translated by