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st: Compute portfolio variance

 From André Gyllenram To 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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