Transfer a risky asset and a risk-free asset to a Vector Auto Regression (VAR) model in matlab

1 回表示 (過去 30 日間)
Hi all,
For my research, I need to transfer the returns from a risk-free asset and a risky asset (mom) to a vector auto regression model. This way I can simulate multiple years ahead to determine te optimal weights to be assigned to the assets.
Does anyone have a clue how to do this?
Thanks.
Kevin

回答 (0 件)

カテゴリ

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

Community Treasure Hunt

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

Start Hunting!

Translated by