Portfolio Backtesting - Rolling Window

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Stan Lazarov
Stan Lazarov il 21 Feb 2014
Hello everyone! My first post here. Basically, I am quite new to Matlab and what I am trying to accomplish is to create a rolling window. I have monthly data from Dec 89 to Dec 2013 and I would like to create a 6 month rolling window to compute each covariance and use it in a portfolio model. I can't do that manually since these are around 38 covariance matrices and I would test 3 different portfolio strategies.
I am afraid that is all I can provide since I am relatively new so all help is well appreciated.
P.s I have looked at the slidefun function but I am not entirely sure whether it will help me.
Thanks in advance!

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