Clear Filters
Clear Filters

Screening Low-Correlation Pairs

1 view (last 30 days)
KKR
KKR on 16 Oct 2011
How are you fellows? Hope everyone is doing great.
I have a question, regarding screening correlation matrix, for low-correlation matrix. Issue at hand has 11 asset returns, and thus produce 11-by-11 correlation matrix. I would like to screen out pairs that has low-correlation. I dont really have any minimums for number of assets that I would like to pick, and I am planning to use them for equal-weighting so I don't need to do portopt function. Although, I did try portopt, using same expected returns for all the assets, but didn't quite work. I have put small piece of code, if someone can find why it hasn't worked. I was hoping to put AssetMin = 0.2, so an algorithm would weed out few assets, based on correlations, but did not work.
Anyone has any idea how do I screen out for pairs. I would need row index and column index as output.
pval = 100; nasset = 11; assetmin = 0.2; assetmax =.5; pcons = portcons('PortValue', pval, nasset, 'AssetLims',assetmin, assetmax, nasset); [rs, ret, wts] = portopt(exwin, wincov,[],[],pcons)
Thank you

Answers (0)

Categories

Find more on Statistics and Machine Learning Toolbox in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!