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Kevin van Berkel


Vrije Universiteit

Active since 2013

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student msc finance

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Question


How to turn this script into a three assets strategy?
Hello all, I need some help to turn this script in a three assets (two risky assets, 1 riskfree asset) strategy. http://ww...

11 years ago | 0 answers | 0

0

answers

Question


Dynamic portfolio optimization problem
Hi all, To compute the portfolio weights of 2 risky and 1 risk-free asset, I took the following steps: For the risky asset...

11 years ago | 0 answers | 0

0

answers

Answered
Adding a extra variable to a model
Thanks Matt! Solved it.

11 years ago | 0

Question


Adding a extra variable to a model
Hi guys, I have the following model: function [R_e, dp] = VAR_CRSP(M,T,r_f); ...

11 years ago | 2 answers | 0

2

answers

Question


plotting the outcomes of a matrix
Goodmorning all! I would like to plot the outcomes of my matrix and I need your help on this one. I've got a matrix, "x1"...

11 years ago | 1 answer | 0

1

answer

Answered
Index exceeds matrix dimensions
This should capture the multiple assets included.. But it's more a gues..

11 years ago | 0

Question


Index exceeds matrix dimensions
Hello all, Anyone knows what goes wrong? I receive this error: Index exceeds matrix dimensions. on the following code:...

11 years ago | 2 answers | 0

2

answers

Answered
B must have same rows of A
Solved it!

11 years ago | 0

Answered
B must have same rows of A
So, X = [ones(M,1); z(t,1); z(t,1).^2]; abeta = bisquare(X, r(:,t+1),k); in here the problem must be somewhere, since...

11 years ago | 0

Answered
B must have same rows of A
Hi Cyclist, Sorry for my late response. I tried numerous ways to resolve it, even with lscov but it still does not work. ...

11 years ago | 0

Question


B must have same rows of A
Hi guys, I constantly receive these errors: Error using lscov (line 105) B must have the same number of rows as A. ...

11 years ago | 4 answers | 0

4

answers

Answered
Index out of bounds
Works now. Thanks Azzi!

11 years ago | 0

Question


Index out of bounds
Hi guys, I need your help once more! The error is: index out of bounds because size(z)=[22719,1]; So this is my code w...

11 years ago | 2 answers | 0

2

answers

Question


Vector auto regressive (VAR) model with 2 endogeneous variables to V(AR) model with one endogenous variable
Hi Guys, I'm trying to apply my data to a study and I use matlab to resolve my problem. The thing is that I want to transfer ...

11 years ago | 0 answers | 0

0

answers

Question


Transfer a risky asset and a risk-free asset to a Vector Auto Regression (VAR) model in matlab
Hi all, For my research, I need to transfer the returns from a risk-free asset and a risky asset (mom) to a vector auto regre...

11 years ago | 0 answers | 0

0

answers

Answered
Not enough input arguments
No worries!

11 years ago | 0

Answered
Not enough input arguments
Thanks Robert you really helped me out, got a nice 1000*20 matrix which contains numbers! Still got some questions though: ...

11 years ago | 0

Answered
Not enough input arguments
Hi, I adjusted the code in this way, according to Robert: It looks like this now and it is actually running: function...

11 years ago | 0

Answered
Not enough input arguments
Hi guys, thanks for your quick replies! To Robert: My purpose is to simulate stock returns according to a VectorAutoReg...

11 years ago | 0

Question


Not enough input arguments
Hi all, the following code yields me this error: Not enough input arguments in line 1. this is the code: function ...

11 years ago | 6 answers | 0

6

answers

Question


Var model asset path simulation
Hi all, I am trying to replicate a study applied to my own data. This is the case: I have a portfolio which contains a...

11 years ago | 0 answers | 0

0

answers

Question


Dynamic asset allocation with the following code
Hello all, Thanks to Semin, I obtained this code from file exchange: function [Yiv, Eiv] = indivfc(X, y, m, rol, lag, di...

11 years ago | 0 answers | 0

0

answers

Answered
Nested for loop portfolio optimization
Hi Matt, thanks for your response. s = size(A); C = zeros(s); for j1 = 1:s(1) C(j1,:) = A(j1,:)*B((j1-1)*s(2)...

11 years ago | 0

Question


How can I make a dynamic portfolio allocation with the following code?
Hello all, Thanks to Semin, I obtained this code from file exchange: function [Yiv, Eiv] = indivfc(X, y, m, rol, lag, di...

11 years ago | 0 answers | 0

0

answers

Question


Nested for loop portfolio optimization
Hi guys, I am probably doing something utterly silly which holds me back from retrieving the desired results. I have two m...

11 years ago | 1 answer | 0

1

answer

Answered
Loop for nested matrix multiplication
Hello Matt, thanks for your effort but Andrei's solution is more suitable to me. Andrei, thanks again, got it running perfec...

11 years ago | 0

Answered
Loop for nested matrix multiplication
*Relocated to Comment by Matt J*

11 years ago | 0

Question


Loop for nested matrix multiplication
Hello guys, My problem is the following. I have two matrices: a 155*3 matrix and a 465*3 matrix. I have to multiply each...

11 years ago | 5 answers | 0

5

answers

Answered
Inverse of a covariance matrix (loop)
Andrei you are a legend. Works perfect, thank you very much!

11 years ago | 0

Question


Inverse of a covariance matrix (loop)
Hi all, I am stuck to create a loop which yields inverse of covariance matrices. Data description: I have the returns o...

11 years ago | 2 answers | 0

2

answers

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