问题描述
我正在编写代码来计算公司不同客户的投资组合波动率，但我陷入了一个将在下面解释的过程：
示例：
dat <- structure(list(CNPJ = c(101425781,101825381,101824382,101823383,101343863,101275931,101733473,101883323,101730476,101618588,101585621,101884322,101617589,101298908,101853353,101266940,101569637,101428778,101260946,101261945,101567639,101267939,101628578,101440766,101435771,101434772,101527679,101438768,101475731,101233973,101258948,101311895,101274932,101865341,101692514,101284922,101357849,101694512,101649557,101384822,101625581,101325881,101404802,101638568,101773433,101301905,101637569,101698508,101558648,101762444,101772434,101770436,101761445,101771435,101302904,101755451,101462744,101544662,101334872,101744462,101538668,101521685,101465741,101323883,101683523,101682524,101820386,101737469,101742464,101728478,101489717,101764442,101606600,101679527,101607599,101493713,101504702,101619587,101811395,101677529,101664542,101729477,101665541,101663543,101622584,101559647,101794412,101780426,101730476
),NOME_CLIENTE = c("André","André","Leandro","Thomaz","Camile","Lucia","Tadeu","Lucas","Ana","Fred","Vania","Rogerio","Murilo","Alex","Adriano","Laura","Marina","Josi","Oscar","Matheus","Carla","Vicente","Vicente"),`Retorno do fechamento em 1 dia (de 05Jul21 até 06Jul21) Em moeda orig ajust p/ prov` = c(0,0.00778361427364871,0.0189589731235174,0.0167292435435229,0.0209282798095956,0.0175226514329552,-0.178722146574728,-0.179207335986575,0),`Retorno do fechamento em 1 dia (de 02Jul21 até 05Jul21) Em moeda orig ajust p/ prov` = c(0.942365785340371,0.805477017638623,0.802614427993831,0.79957278976508,0.343775841429306,0.770676273714344,0.681504154090362,0.36820554996666,0.675119873812946,0.886332713707816,-0.196678715019516,0.368162580161879,0.0573179420825909,0.630863469814358,0.0537324149263441,0.053517096239375,0.053270060561772,0.123570029245457,0.00240310728258919,0.000954475581238512,0.012390517804306,-0.175190593472507,0.0513788099851809,0.0571791188122006,-0.000460241699329345,-0.0055272630561376,-0.180391395588231,-0.000360705416824203,-0.00212285012821667,0.0140633886985597,0.0159728740982246,0.0153047161802533,0.0171541991221602,0.0161614329044824,0.0239725273786462,0.0170795990925399,0.0146915856021224,0.0208990009923582,0.0251777479206794,0.0101244871984818,0.083773042933899,0.00613068441452924,0.0596999600020354,-0.000258351337834029,-0.0318828113449854,0.508815288958431,-0.0037543713915511,-0.0422787105890166,-0.00410938619097578,0.0156755046191392,-0.0350934983543993,-0.0351224380210624,0.0150984966239776,-0.0352719532202173,0.510709844456869,0.0136689604914864,-0.239597912332101,-0.152928001898545,-0.0235288461226446,-0.198399838154728,-0.462776459698944,-0.0380991642487061,-0.466886323647486,0.00119402775453636,0.14253430399549,0.139307505560282,0.102990215236787,-0.218033586497768,-0.218882237186335,-0.0285126700873661,-0.0373568835129845,0.0905571250768844,0.0210312804483692,-0.0707320114997856,0.0156884318130324,-0.351507907998894,-0.0933908677325235,-0.229178049994516,-0.0865143876580987,-0.10620687098708,-0.0552723868167959,-0.0814444899333466,-0.0519984678248875,-0.0520159507686913,-0.117729024987057,-0.0530218498170143,0.158825809739938,0.158491499496449,0.675119873812946),`Retorno do fechamento em 1 dia (de 01Jul21 até 02Jul21) Em moeda orig ajust p/ prov` = c(0.979534778889501,1.00895916129957,1.00597755536,1.00293131490616,1.19184508603212,0.892244829992705,1.06031548002647,-0.242739015629923,1.05267639410158,1.12581394059816,-1.26531522691948,-0.242730580339412,0.829333663568832,0.709356947118067,-0.168167339415959,-0.167775623322086,-0.167328415955126,0.329745306589757,0.27122778701596,0.268143224639061,-0.124702736684412,-0.0913384802515793,-0.11147755831189,0.0987762688964722,0.0772892448367202,0.0721167476513074,0.0718083483661758,0.13765686780971,-0.0107362609924166,0.108200344766374,0.0167877662534011,0.0166125437317532,0.019362857528904,0.0170939973031636,0.0149137784319464,0.0175510795088485,0.0219936013309052,0.0153708668221952,0.0214045179745881,0.218257983397052,1.93124338729831,0.0966225481533911,0.0660155585137545,0.160651210353535,0.281960610300303,0.168294318973494,0.156532869732473,0.0235352978052106,0.15597043420712,0.178403708923724,0.313215353344276,0.313077565988351,0.150220916111721,0.313011823345732,0.167659097860451,0.148871797682659,0.118057045074238,0.057461309734208,0.444099056039704,0.0440074078142061,0.628042917742277,1.91767980722943,0.636043804843212,0.22732198212907,0.648415319665219,0.631001178953738,1.45504575739324,0.0488470226628124,0.0490176256789709,0.420476676117687,0.445707477410906,0.528412471248885,0.0766849934734637,0.135209854306595,0.094540198915638,0.270248285050911,0.480813477770425,0.802627007942647,0.363892160748946,1.48838756485929,0.340247581152653,0.470643488733913,0.330754261813127,0.331557817662542,0.245268716025748,0.328566240204964,-0.0858315926052455,-0.0862059820974537,1.05267639410158),`Retorno do fechamento em 1 dia (de 30Jun21 até 01Jul21) Em moeda orig ajust p/ prov` = c(1.43870652973419,1.41092075518827,1.40891626124358,1.40683828485635,1.29712666603155,1.28780756476772,1.16027819913143,1.15619966982194,1.15166121959192,1.12679697540443,1.11872740271792,1.09681450958306,0.267671114488621,0.222820941417012,0.222602060603094,0.22248505429161,0.221691197657492,0.220383319538087,0.214968588261399,0.211758096520498,0.194644135626731,0.1451038322557,0.139518178730214,0.13257357859402,0.130725836606871,0.125449788902188,0.124899058755545,0.12112907224946,0.0179505830601556,0.0179249640495982,0.0178968244654243,0.0172540911080432,0.0172192943864502,0.0170852243172703,0.0170261320818099,0.0169619641383179,0.0169404602274881,0.0168244730957667,0.016709737428755,-0.0211857909562241,-0.0216967600863427,-0.0229697961913189,-0.0257060649346386,-0.0259964172983018,-0.0275145673185762,-0.0289907728074468,-0.0292650344817957,-0.0294223166747543,-0.0296824166980514,-0.030167581007845,-0.0302402934721613,-0.0302878822367347,-0.03037016322196,-0.030424068972934,-0.0310724994960765,-0.0318300612889288,-0.0853457778248412,-0.0859374341416697,-0.0859406153722375,-0.0865554517076816,-0.0882744773662125,-0.0887361663444608,-0.0893140918378776,-0.0901054414498503,-0.0906405015484779,-0.0920847652196244,-0.0937861297643394,-0.0947105819250282,-0.0953150254645152,-0.110822802071198,-0.113156839324802,-0.115255077889742,-0.12083339088349,-0.122396185088292,-0.124390845849121,-0.130054255532741,-0.131201397198311,-0.177713267203217,-0.179625764030789,-0.181550171964773,-0.184798425652843,-0.186204287638247,-0.186833808493247,-0.187116816960042,-0.18726764656094,-0.187312098569237,-0.188992797757237,-0.189383511951746,1.15166121959192),`Retorno do fechamento em 1 dia (de 29Jun21 até 30Jun21) Em moeda orig ajust p/ prov` = c(0.502124611193722,1.08873834833503,1.0863304585655,1.08408597388916,1.19717331272113,0.643037106601696,0.985535115250968,1.25571238968405,0.97833804320544,0.539720013330225,-0.0171822072843497,1.25885415855009,-0.297552030588122,-0.526261176401022,0.035477040000842,0.0353613204424619,0.0351307737219031,0.0288115119474242,0.189729943122074,0.186261452654435,0.0205766682483954,-0.11735292891899,0.0925877280678833,0.177379815249878,-0.136864399428305,-0.141660541066813,-0.140943691440043,-0.0966895738201856,-0.0017996449059865,0.0312044658130617,0.0138932151457993,0.0152530168634257,0.0200221114937449,0.0161169335115119,0.0274898708084947,0.0186181776371086,0.0182820524059935,0.0239859622524818,0.0205424532396137,0.0759944194214768,-0.509912122015521,0.00486758381157415,0.0288131310298922,0.00580397354497109,-0.046727934932278,0.153513796249172,0.00224317063839408,-0.0344225619301142,0.00192268780665472,0.0188015475941938,-0.0515577000442136,-0.0516044370669988,-0.00575247213419061,-0.051770751906588,0.152701738261385,-0.00723539169484866,-0.000709731102688238,-0.125828953150631,-0.0583621415898961,-0.230176390323322,0.0246811907345545,-0.286447172857152,0.0252581143286079,-0.000968543736235006,-0.00327709612975013,-0.000393667869502679,-0.233207584187767,-0.25298826967628,-0.254608426985214,-0.112315356545878,-0.0684287759213476,0.0235757685004501,-0.288741029726225,-0.101063827332837,-0.349614209790161,-0.127183163567679,-0.119651697877998,-0.179443232809717,-0.0405482861424389,-0.336684563626477,0.0314099312163307,-0.122985923007946,0.028760595159838,0.0289238596451469,0.00404918064305093,0.0272430881523178,0.111774820288701,0.11133259122289,0.97833804320544
),`Retorno do fechamento em 1 dia (de 28Jun21 até 29Jun21) Em moeda orig ajust p/ prov` = c(-0.198023707343964,0.165073225434753,0.162118304069736,0.159184927360911,0.31501187786489,0.480946872812638,0.100753906190221,-0.0653304397019383,0.0962356276431819,-0.0881336358361295,-0.0533254209585721,-0.0677359893415996,-0.204503703935188,0.0372313692423631,0.19837873915094,0.198078832727333,0.197325568842643,-0.322720231088169,0.208725442644209,0.205065749287314,0.167832192164497,0.0620278860878898,0.0595328980125487,-0.00318802449328359,0.172116678731982,0.166721905588929,0.166025866019481,0.0555906986846821,0.0145019028423121,0.0341210115948343,0.0196030874576536,0.0151630909385858,0.0171717618286493,0.0166905201695045,0.0386720310416422,0.0170905304912594,0.0321437632010202,0.0290415791823762,0.0290159981886973,0.0224570892896736,0.0550586113604368,0.00599850245635025,0.0569822685065446,0.00715276200935477,0.0707630950273597,0.0603664986556396,0.00360865669790655,0.0138247363793198,0.00322926134685986,0.00569701842323411,0.0788849310993101,0.0787162032793276,0.023551956837764,0.0786520142355585,0.0588474418691476,0.0220792353502475,-0.288288556748739,0.0193903986655641,0.0118731610200484,-0.0138466287353367,-0.680894528341014,-0.325431222609041,-0.695109194475663,0.000547890522284433,0.178201925700705,0.17427996663173,0.215817989919742,-0.0149371458064707,-0.0149838482684572,-0.0245679943873256,0.0144083751365542,0.0886160698428284,0.202712868485833,-0.0466606414192938,0.218713049616781,-0.862754137233424,0.035604577169579,-0.195995577814756,0.0630952594292467,0.0203639445317094,0.00807336509751622,0.0235056655583321,0.00701949902577326,0.00712929831934161,-0.057338921851624,0.00565966965950793,0.271263730610372,0.270847501633398,0.0962356276431819),`Retorno do fechamento em 1 dia (de 25Jun21 até 28Jun21) Em moeda orig ajust p/ prov` = c(-0.04575570274028,-0.324605952846468,-0.327796321016649,-0.33096953857239,0.310205801906704,-0.414644634292927,-0.101955446643842,-0.792592311699991,-0.105553570938355,-0.426584116303275,0.384709813624795,-0.793544384760025,0.244644467056787,-0.113642475389497,-0.200582809884509,-0.200281002162228,-0.199668641380413,0.105843198252842,0.05128885331942,0.0487525394419208,-0.144266975257779,-0.0204055452741159,0.00692895773681812,-0.107229976947565,-0.021897017268202,-0.026910665746982,-0.0267514958977699,-0.0226308975470602,0.00656187421554932,0.0711173595846049,0.016080117529782,0.0149099576447043,0.0224479716052883,0.0160585161211202,0.0291353537249961,0.0191598079254618,0.0344285706887604,0.0277284529147437,0.0324757711496204,0.255325436228304,0.491043761394394,-0.007351639578701,0.239665514345688,0.0254665781540098,0.246601338403707,0.306360405738815,0.021799597197969,0.0359414310878492,0.0214967376450659,0.2530865072913,0.273972895593033,0.273773812295985,0.216667755375965,0.273744292098854,0.306647065735888,0.215286427555839,-0.111104031839204,0.157537165796384,0.192098881598213,0.0864217152411584,-0.0945294063967594,0.521661975290044,-0.0958257593993039,-0.0476185044135491,0.42623207118595,0.405392333959753,0.856841270979203,0.0956091435000417,0.0959779299591901,0.237147073858068,0.219546595326392,0.196438972307078,-0.0241040951550531,0.163301830616547,-0.000792533046478638,-0.264652587702585,0.312989899975946,0.428198364716081,0.0950000918237492,0.60943404041609,0.238058063587232,0.161433682296774,0.221308266009146,0.222009271055867,0.0339463511409122,0.219266381827765,-0.0260104882727319,-0.0264767391854548,-0.105553570938355),`Retorno do fechamento em 1 dia (de 24Jun21 até 25Jun21) Em moeda orig ajust p/ prov` = c(1.31500839142973,1.2538675655378,1.2512416806203,1.2483983013226,0.923949156276649,1.53366348040436,1.07913114661642,0.981676446463098,1.06919162481063,1.00356835209823,0.0938292467253632,0.981684204998601,0.0335199194523739,-0.160056370532402,0.625390207096643,0.624604057702527,0.622362618378247,0.361656406130351,-0.212902135081094,-0.213394554157276,0.499070715704875,-0.0216325648580096,0.212004635613994,0.0234427629038692,0.270697217638372,0.264927992066077,0.264052262537007,0.0876192654686747,0.0221270523979911,0.0283598365058424,0.0168144269991899,0.0146372844028519,0.0276347756880568,0.0168952665262623,0.0280305044725537,0.0247853928158293,0.0215260746699641,0.0224150851863669,0.0331112487401697,-0.11593472909226,-1.49322215711436,-0.0149391249578912,0.0804914230684517,0.118418995771208,-0.245298802747129,-0.184812617681018,0.114302423753543,-0.0609414437349187,0.114008090167772,0.109802194674558,-0.27181676514374,-0.271866577804758,0.0921201453820686,-0.27202933197259,-0.188102052743488,0.0906900539121125,-0.228354444789147,0.00782648858148605,-0.175804663012968,-0.248384703172633,-0.95458747309749,-1.45392726271893,-0.968984441897192,-0.0592346845223801,-0.0362318211045931,-0.0311027364659822,-0.835893042494718,-0.274180758242437,-0.275284712279245,-0.219692738210142,0.115211368756718,-0.222768642652227,-0.06096580209487,-0.155160100985086,-0.104768661731214,0.11422998886701,0.109853295543871,-0.695003834425734,-0.208113736607629,-1.01258187478379,-0.00637666562397499,-0.255406660107838,-0.00643533894617576,-0.00635902624708251,0.00232062830036739,-0.00783108380346675,0.157384331396315,0.156946501556376,1.06919162481063)),row.names = c(NA,-130L),class = c("tbl_df","tbl","data.frame"))
Labels:
"CNPJ" = Fund/Stock ID,"NOME_CLIENTE" = Client Name,Other columns = Return in Day,Return in Day-1,Return D-2,... Return D-n for a Year or aprox 260 days)
我需要做的是为每个唯一的 NOME_CLIENTE 计算基金的相关矩阵。所以代码需要给我一个矩阵列表或类似的东西作为输出。 因此，对于客户“Andre”-> 他的 7 个基金的 Corr 矩阵； 客户“Leandro” -> 他的 10 个基金的 Corr 矩阵 等等……
我需要这种方式，因为之后我需要将每个客户矩阵乘以一个值以获得投资组合波动率。
有关投资组合波动率的更多信息： https://financetrain.com/analytical-approach-to-calculating-var-variance-covariance-method/
解决方法
这将为您提供一个矩阵列表，每个客户端一个：
library(RiskPortfolios)
library(tibble)
dat_clean <- tibble::as.tibble(dat)
names(dat_clean)[3:10] <- paste0('day',8:1)
accounts <- unique(dat_clean$CNPJ)
clients <- unique(dat_clean$NOME_CLIENTE)
lcorrelations <- vector(mode = "list",length = length(clients)) # list of correlations
names(lcorrelations) <- clients
for(i in clients) {
returns_account_i <- t(as.matrix(dat_clean[dat_clean$NOME_CLIENTE == i,c(3:8)]))
lcorrelations[[i]] <- RiskPortfolios::covEstimation(returns_account_i)
}
# correlation matrix for André
> print(lcorrelations$André)
[,1] [,2] [,3] [,4] [,5] [,6] [,7]
[1,] 0.3940826 0.3110904 0.3108791 0.3106319 0.2485066 0.2383790 0.2778012
[2,] 0.3110904 0.3052529 0.3049751 0.3046908 0.2842727 0.2151196 0.2735981
[3,] 0.3108791 0.3049751 0.3046987 0.3044156 0.2839959 0.2148306 0.2733327
[4,] 0.3106319 0.3046908 0.3044156 0.3041340 0.2837319 0.2145246 0.2730624
[5,] 0.2485066 0.2842727 0.2839959 0.2837319 0.3214527 0.1938825 0.2652854
[6,] 0.2383790 0.2151196 0.2148306 0.2145246 0.1938825 0.1852168 0.1878199
[7,] 0.2778012 0.2735981 0.2733327 0.2730624 0.2652854 0.1878199 0.2530376