Excel 幂法-非收敛系统
我正在创建一个风险平价过程,在这里我需要使用幂法,这是一个迭代过程来找到系统的特征值 目的是找出你准备投资的每项资产的权重 为了认识到我需要实现一个幂法,所以我猜测每项资产的权重,我正在寻找是否满足当前条件:Excel 幂法-非收敛系统,excel,vba,math,iteration,linear-algebra,Excel,Vba,Math,Iteration,Linear Algebra,我正在创建一个风险平价过程,在这里我需要使用幂法,这是一个迭代过程来找到系统的特征值 目的是找出你准备投资的每项资产的权重 为了认识到我需要实现一个幂法,所以我猜测每项资产的权重,我正在寻找是否满足当前条件: sqr((1/(N-1))Sum((Xi*Betai - 1/N)^2) < epsilon i是投资组合中的资产i和p 当我的条件不被尊重时,我会重新分配我的贝塔作为我的新体重,直到我的条件得到尊重 问题是系统不是收敛而是爆炸。我认为我非常尊重Denis B Chaves Jas
sqr((1/(N-1))Sum((Xi*Betai - 1/N)^2) < epsilon
i是投资组合中的资产i和p
当我的条件不被尊重时,我会重新分配我的贝塔作为我的新体重,直到我的条件得到尊重
问题是系统不是收敛而是爆炸。我认为我非常尊重Denis B Chaves Jason C.Xu Feifei Li和Omid Shakernia的文章:
我试图实现第7页的算法2
这是我的代码:
Sub RiskParityPowerMethod()
'prendre des poids equiponderes
Dim lastColumnReturn As Long
Dim lastRowReturn As Long
Dim tempReturnPtf As Double
lastRowReturn = Cells(Rows.Count, 1).End(xlUp).Row
lastColumnReturn = Cells(1, Columns.Count).End(xlToLeft).Column
'calcul du rendement du portefeuille pour les 90 premieres dates
Sheets("Return").Select
For k = 3 To 92
tempReturnPtf = 0
For j = 3 To lastColumnReturn
tempReturnPtf = tempReturnPtf + (1 / (lastColumnReturn - 2) * Cells(k, j))
Next j
Sheets("Portfolio").Cells(k, 2).Value = tempReturnPtf
Cells(k, 2).Value = tempReturnPtf
Next k
ReDim vecteurPoids(3 To lastColumnReturn)
ReDim covarIP(3 To lastColumnReturn)
ReDim matrixVarCovar(92 To lastRowReturn, 3 To lastColumnReturn, 3 To lastColumnReturn)
ReDim matrixVarCovarFinal(3 To lastColumnReturn, 3 To lastColumnReturn)
ReDim beta(3 To lastColumnReturn)
For k = 92 To lastRowReturn
'initialisation des poids
For i = 3 To lastColumnReturn
vecteurPoids(i) = 1 / (lastColumnReturn - 2)
Next i
Condition = 1
seuil = 0.05
While Condition > seuil
'calcul du return du portefeuille
tempReturnPtf = 0
For i = 3 To lastColumnReturn
tempReturnPtf = tempReturnPtf + vecteurPoids(i) * Sheets("Return").Cells(k, i).Value
Next i
Sheets("Portfolio").Cells(k, 2).Value = tempReturnPtf
Cells(k, 2).Value = tempReturnPtf
'calcul de la covariance de l'actif i avec le portefeuille
For i = 3 To lastColumnReturn
covarIP(i) = Application.WorksheetFunction.Covar(Range(Cells(k - 90, i), Cells(k, i)), Range(Cells(k - 90, 2), Cells(k, 2)))
Next i
'i is the asset i
For i = 3 To lastColumnReturn
'j is the asset j
For j = 3 To lastColumnReturn
'Sheets("Return").Select
matrixVarCovar(k, i, j) = Application.WorksheetFunction.Covar(Range(Cells(k - 90, i), Cells(k, i)), Range(Cells(k - 90, j), Cells(k, j)))
matrixVarCovarFinal(i, j) = matrixVarCovar(k, i, j)
Next j
Next i
'calcul de la volatilite du portefeuille
tempVolPtf = 0
For i = 3 To lastColumnReturn
For j = 3 To lastColumnReturn
tempVolPtf = tempVolPtf + (matrixVarCovar(k, i, j)) * vecteurPoids(i) * vecteurPoids(j)
Next j
Next i
volPtfCarre = tempVolPtf
'calcul du beta pour chaque actif
For i = 3 To lastColumnReturn
beta(i) = covarIP(i) / volPtfCarre
Next i
'condition d'iteration
For i = 3 To lastColumnReturn
tempCondition = tempCondition + (vecteurPoids(i) * beta(i) - (1 / (lastColumnReturn - 2))) ^ (2)
'MsgBox tempCondition
Next i
tempCondition = (1 / (lastColumnReturn - 2 - 1)) * tempCondition
'MsgBox tempCondition
Condition = Sqr(tempCondition)
MsgBox Condition
If Condition > seuil Then
'changement des poids
tempSumBeta = 0
For i = 3 To lastColumnReturn
tempSumBeta = tempSumBeta + (1 / beta(i))
Next i
sumBeta = tempSumBeta
For i = 3 To lastColumnReturn
vecteurPoids(i) = (1 / beta(i)) / (1 / sumBeta)
'MsgBox vecteurPoids(i)
Next i
End If
Wend
Next k
End Sub
你知道为什么这个系统不会收敛,反而会爆炸吗 最后,如果我初始化变量条件和tempSumBeta,我的系统收敛到0,57:
Condition = 0
seuil = 0.57
While Condition < seuil
tempSumBeta = 0
Condition = 0
条件=0
seuil=0.57
当条件
Condition = 0
seuil = 0.57
While Condition < seuil
tempSumBeta = 0
Condition = 0