How do I obtain a variance-covariance matrix?
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I am trying to maintain the variance-covariance matrix of a 10 asset portfolio of stocks. The data is represented by a column of returns for 10 stocks. I.e.
Stock A Stock B
Return 1 Return 1
Return 2 Return 2
Etc Etc
When I upload my data I have tried the cov(data) function but it will not work. I keep receiving this message:
"Undefined function 'sum' for input arguments of type 'dataset'.
Error in cov (line 154) xc = bsxfun(@minus,x,sum(x,1)/m); % Remove meanUndefined function 'sum' for input arguments of type 'dataset'.
Error in cov (line 154) xc = bsxfun(@minus,x,sum(x,1)/m); % Remove mean"
My question is how do I proceed with finding the average returns of each stock and the variance-covariance matrix?
3 Commenti
jgg
il 27 Gen 2016
No, what is the data type of the information you've loaded in. It looks like you're passing the entire dataset object, instead of just the data, but I can't tell without seeing your code.
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