Portfolio Backtesting - Rolling Window

1 vue (au cours des 30 derniers jours)
Stan Lazarov
Stan Lazarov le 21 Fév 2014
Hello everyone! My first post here. Basically, I am quite new to Matlab and what I am trying to accomplish is to create a rolling window. I have monthly data from Dec 89 to Dec 2013 and I would like to create a 6 month rolling window to compute each covariance and use it in a portfolio model. I can't do that manually since these are around 38 covariance matrices and I would test 3 different portfolio strategies.
I am afraid that is all I can provide since I am relatively new so all help is well appreciated.
P.s I have looked at the slidefun function but I am not entirely sure whether it will help me.
Thanks in advance!

Réponses (0)

Catégories

En savoir plus sur Portfolio Optimization and Asset Allocation dans Help Center et File Exchange

Community Treasure Hunt

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

Start Hunting!

Translated by