Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Clarification st: Compute portfolio variance
From
André Gyllenram <[email protected]>
To
<[email protected]>, <[email protected]>
Subject
Clarification st: Compute portfolio variance
Date
Mon, 17 Sep 2012 11:37:21 +0200
Thank you for your answer Alberto. It made me realize that I have to solve this problem in a different way.
I have the historical return data of each of the N stocks in a separate file. It looks like this.
date valueStock1 valueStock2 valueStock3 ... valueStock99
19980101 4 19 100 33
19980102 4 49 109 88
19980103 5 60 99 44
... ... ... ... ...
20070101 9 55 126 66
In another file I have information about the stocks each individual owns at the beginning of every year during a ten year period. I also have the portfolio weights of the stocks that each individual owns. A small part of the data looks like this.
individual date portfolioweight Stock
1 20000101 0.3 Stock1
1 20000101 0.4 stock9
1 20000101 0.2 stock56
1 20000101 0.1 stock77
...
1 20010101 0.8 stock88
1 20010101 0.2 stock1
2 20000101 0.3 stock3
2 20000101 0.2 stock25
2 20000101 0.4 stock1
2 20000101 0.1 stock88
2 20010101 1.0 stock22
...
1897 20000101 0.6 stock23
1897 20000101 0.2 stock33
1897 20000101 0.2 stock77
I want to compute the portfolio variance for every individual in every time period. Every individual often only own a small number of stocks in every time period.
Is it easy to compute the Var-Cov Matrix if the data is in this format? How do I do that?
I am not familiar with Mata, so any code you have is of interest.
Kind regards
André Gyllenram
>Hi André.
> It is hard to see how you are using your dataset to compute your
> portfolio variance. For example, I do not see where are the weights in
> your dataset.
> If you had something like a set of vectors (a matrix) of different
> combinations of portfolio weights for N stocks, and also if you have
> the Var-Cov Matrix (or the historical return data of each of the N
> stocks, you can easily compute the Var-Cov matrix), then it is simple
> to compute all portfolio variances in only one Matrix multiplication.
> It is faster to use MATA for this. MATA is a computer language that
> can be invoked from Stata.
> In matrix notation, the variance of a portfolio is:
> Var(Portfolio) = w' * COV * w
> Where COV is the Var-Covar matrix of the N returns considered in the
> portfolio, and w can be either a vector or a set of vectors (matrix)
> of different portfolio combinations.
> If N is too big, you can have problems with Mata to do the matrix
> multiplication, but you can use a loop to do N matrix multiplications
> using w as a different vector each time.
> Let me know if you want to compute different variance of potfolio
> combinations, and I can share with you a Mata code I have for doing
> this.
> I hope this help... Alberto Dorantes
----------------------------------------
> From: [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
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/