MATLAB Answers

ttest of a portfolio

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joseph Frank
joseph Frank on 8 Apr 2013
Hi,
I have a portfolio of stock returns,and R is a matrix of individual stock returns (rows are dates and columns are the stocks). I want to test of the return of the equally weighted portfolio is different than a value that I called Rbar. I used :
[H,Pval,CI,STATS]=ttest(R1,Rbar);
However STATS.tstat returned a vector of t values each corresponding to a stock. I want rather the t test of the whole portfolio. I can't compute the equally weighted return of the portfolio and compute the ttest of that equally weighted return because the variance of a portfolio returns is not the variance of equally weighted returns but rather it depends on the variance of individual returns and the covariances of each pair of stocks. Is their a way to obtain a t test for a portfolio using matlab?

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