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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: Clarification st: Compute portfolio variance |

Date |
Mon, 17 Sep 2012 11:55:56 +0200 |

Good places to start would be: -help merge- -help by- -help egen- and -ssc d egenmore- Hope this helps, Maarten On Mon, Sep 17, 2012 at 11:37 AM, André Gyllenram <a_gyllenram@hotmail.com> wrote: > 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: a_gyllenram@hotmail.com >> To: statalist@hsphsun2.harvard.edu >> 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/ -- --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl --------------------------------- * * 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/

**Follow-Ups**:**RE: Clarification st: Compute portfolio variance***From:*André Gyllenram <a_gyllenram@hotmail.com>

**References**:**st: Compute portfolio variance***From:*André Gyllenram <a_gyllenram@hotmail.com>

**Clarification st: Compute portfolio variance***From:*André Gyllenram <a_gyllenram@hotmail.com>

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