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historicalreturns
2007 Mar 16
1
cumsum over varying column lengths
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) = NCOL(historicalReturns).
Now I would like compute for ea...