Creating return series of double-sorted portfolios

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Andreas S le 15 Oct 2020

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

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