Say here are 10 Winner and 10 Loser Portfolio(with 20 daily performances, see the data below). How to find the optimal WIN-LOSE portfolio pair with the maximum RET/stdev [ret=ret_win-ret_lose]?! Anyway to find the optimal with ret (historical ret as expected ret) and correlation matrix, rather than go through emulation?!
data _port_win_expt_ret;
do i=1 to 10;
do tradingday=1 to 20;
ret=100+2*ranuni(i);
output;
end;
end;
run;quit;
data _port_lose_expt_ret;
do i=1 to 10;
do tradingday=1 to 20;
ret=100-1.5*ranuni(i);
output;
end;
end;
run;quit;
proc sort data=_port_win_expt_ret;by tradingday i; run;quit;
proc transpose data=_port_win_expt_ret out=_port_win_expt_ret_t(drop=_NAME_) prefix=ret_W_;
by tradingday;
var ret;
id i;
run;quit;
proc sort data=_port_lose_expt_ret;by tradingday i; run;quit;
proc transpose data=_port_lose_expt_ret out=_port_lose_expt_ret_t(drop=_NAME_) prefix=ret_L_;
by tradingday;
var ret;
id i;
run;quit;
proc sql;
create table _port_WL_ as
select a.*,
b.*
from _port_win_expt_ret_t as a
left join _port_lose_expt_ret_t as b
on a.tradingday=b.tradingday
order by a.tradingday;
quit;
proc corr data= _port_WL_ out= _port_WL_corr;
run;quit;
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