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Re: st: Portfolio building


From   n j cox <n.j.cox@durham.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Portfolio building
Date   Wed, 25 Jan 2006 11:24:20 +0000

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Your problem sounds like a classic -collapse-. See http://www.stata.com/help.cgi?collapse or [D] collapse.

Nick
n.j.cox@durham.ac.uk

Andrei Simonov

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

* http://www.ats.ucla.edu/stat/stata/
*
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