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st: Compute portfolio variance
From
André Gyllenram <[email protected]>
To
<[email protected]>
Subject
st: Compute portfolio variance
Date
Mon, 10 Sep 2012 10:56:21 +0200
Hello,
I want to compute the portfolio variance for each individual in every time-period.
Portfolio variance = (weight(1)^2*variance(1) + weight(2)^2*variance(2) + 2*weight(1)*weight(2)*covariance(1,2)
My data-material is in this format:
individual date STOCK varISIN1 varISIN2 ... varISIN199 corrSTOCK1STOCK2 corrSTOCK1STOCK3 ... corrSTOCK99STOCK198
1 20000101 stock1 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
1 20000101 stock2 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
1 20000102 stock3 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
1 20000102 stock77 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
1 20000103 stock1 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
2 20000101 stock100 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
2 20000101 stock3 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
2 20000101 stock2 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
2 20000102 stock66 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
2 20000103 stock3 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
2 20000103 stock22 .3333333 450.3333 30.33333 .7073684 -.5765567 .1696948
The problem is that every individual do not own every stock. I also have a very large number of individuals so I cannot compute the portfolio variance for every individual and date manually.
Does anyone have an idea how to do this?
Kind regards
André Gyllenram
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