topic Re: Forming Portfolio of Connected firms in SAS Programming

Forming Portfolio of Connected firms

EJAA — Wed, 27 Sep 2017 05:18:30 GMT

Hi All

I have daily stock price data for 1000 firms. I need to form portfolios of firms that are connected to each other. For instance in my sample data attached, firm with Permno number 10001 is connected to firms with permno number 1002, 1009,10012,10019. I want to form a portfolio consisting of these four firms (1002, 1009,10012,10019) that are connected to firm 10001. How do i resolve this problem. Thanks in advance for the assitance. rgds ejaa.

Re: Forming Portfolio of Connected firms

FredrikE — Wed, 27 Sep 2017 05:58:22 GMT

How do you know the connection, do you have them in another file?

Otherwise you could create a group data set which contains group and firms and then join that data set with your details.

After that it is easy to summarize or whatever you want 🙂

data groups;

length group firm $32;

input group firm;

datalines;

group1 10001

group1 10002

group1 10003

group2 11001

group2 11002

....

;

run;

proc sql;

create jointV as

select * from groups as a

left join details as b

on a.firm = b.permno

;

quit;

//Fredrik

Re: Forming Portfolio of Connected firms

error_prone — Wed, 27 Sep 2017 08:13:34 GMT

You need the connections between firms stored in a file, without that information solving the problem ist hardly possible. Or does any logic exist to identify the connection?

Re: Forming Portfolio of Connected firms

EJAA — Thu, 28 Sep 2017 02:13:29 GMT

Hi error_prone

I have the connections among firms established using a set of rules hence me been able to indicate that firm 10001 in the attached sample is connected to four firms in the data. So for each firm, I have on all other firms connected to it and want to create a portfolio for the connected firms using daily prices which is proving difficult. Thanks.

Re: Forming Portfolio of Connected firms

EJAA — Thu, 28 Sep 2017 02:29:32 GMT

Hi Fredrike

With reference to the connections, yes i do have them on a different sheet. Thus each firm and the firms connected to it. Thanks

Re: Forming Portfolio of Connected firms

FredrikE — Thu, 28 Sep 2017 06:36:26 GMT

Have you tried my code example?

Can you provide some of your tries, and maybe an example of what you want to accomplish 🙂

//Fredrik

Re: Forming Portfolio of Connected firms

EJAA — Mon, 16 Oct 2017 23:10:23 GMT

I have the connections stored in another file. I want to read from the two data sets to create the groups/connected firms. any directions for me. thanks in advance.rgds