I would appreciate hearing your views on whether solving the problem below is possible in STATA.
I am looking to find a portfolio of uncorrelated instruments. The portfolio should be as large as possible, from a population of 250 instruments available. Here "uncorrelated" refers to any correlation between -0.03 and 0.03.
The difficulty is that for each uncorrelated pair, I need to identify a third element which has low corr with either element in the pair, then add fourth, then fifth, etc. until I can no longer find any instruments to add. Doing this manually can take hours to process all the possible combinations, so I am hoping there is a STATA code that can achieve the result.
I attach a sample .csv file of 250 instruments with daily returns over last year.
Related Posts with Portfolio of uncorrelated instruments
Extracting subset date from a timestamp date variableDear Colleagues Please help: I am trying to extract the first 8 characters (NEWdate) from a date for…
Extracting subset date from a timestamp date variableDear Colleagues Please help: I am trying to extract the first 8 characters (NEWdate) from a date fo…
Mean difference with omitted variableHi All, I'm trying to do a calculation for an average rate and a marginal rate using state data. Si…
Stripplot with 2 variables and grouping variableHi, I hope you are all well and safe! I am plotting standardized outcome measures at admission and …
do.file to estimate spatial panel data with stata 16To whom it may concern In panel spatial econometrics, there is a cohort of 6 spatial econometric mod…
Subscribe to:
Post Comments (Atom)
0 Response to Portfolio of uncorrelated instruments
Post a Comment