Folks,
I have a matrix of historicalReturns, where entry (i, j) is the daily return
corresponding to date i and equity j. I also have a matrix startOffset,
where entry (1, k) is the row offset in historicalReturns where I entered
into equity k.
So we have that NCOL(startOffset) =
This might work for you:
returnsFromInception - sapply(1:NROW(historicalReturns), function(x){
cumsum(historicalReturns[startOffset[1, x] : n, x])
})
On 3/16/07, Murali Menon [EMAIL PROTECTED] wrote:
Folks,
I have a matrix of historicalReturns, where entry (i, j) is the daily
return