Portfolio sorting using discretize and accumarray
9 vues (au cours des 30 derniers jours)
Afficher commentaires plus anciens
I'm trying to sort equally weighted portfolios using discretize and accummarray. I want to make 3 equally weighted portfolios sorted on the signals 1,2,3. The issue arrises with the number of portfolios, if I set portEW=NaN(T,3); I get the accumarray is unable to perform the assignment because LHS is a 1 by 3 and RHS a 4 by 1.
This can be solved by setting the number of portfolios to 4 and getting 1 portfolio of just zeros and deleting it.
But this seems kind of sloppy, any suggestions on how to do it in a more correct way?
clear all
clc
RET=[1 2 3 4 ; 1 2 3 4 ; 1 2 3 4; 1 2 3 4 ];
signal=[1 2 3 1; 1 2 3 1; 1 2 3 1; 1 2 3 1];
T=length(RET);
breakpoint=NaN(length(T),3);
for i=1:T;
breakpoint(i,1)=1;
breakpoint(i,2)=2;
breakpoint(i,3)=3;
end
portEW=NaN(T,3);
for i=1:T
ind=discretize(signal(i,:),[-inf breakpoint(i,:) inf]);
portEW(i,:)=accumarray(ind(~isnan(ind))',RET(i,~isnan(ind)),[],@nanmean);
end
0 commentaires
Réponses (0)
Voir également
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!