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st: Portfolio building


From   Andrei Simonov <[email protected]>
To   [email protected]
Subject   st: Portfolio building
Date   Wed, 25 Jan 2006 11:50:08 +0100

Dear All,

 

I wonder if anyone have code (or pointers, or ideas) how to build portfolio of returns.

Basically, I have a data in format

DATE               COMPANYID    PORTFOLIOID             WEIGHT          RETURN0 RETURN1

 

I need to get

DATE PORTFOLIOID PRETURN0 PRETURN1

 

Where PRETURN0=weighted average of RETURN0, etc.

 

I looked through the web, but cannot find anything

 

Thanks in advance

 

Andrei Simonov




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