st: Portfolio building

[Andrei Simonov <Andrei.Simonov@hhs.se>]

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