Nested For loop in R

Question

This is just a simple question but really taking my time as I am new in R.

I'm trying to write a code for the variance of a portfolio.

For example, I have the following :-

weight=c(0.3,0.2,0.5)
cov  = matrix( c(0.2, 0.4, 0.3, 0.4, 0.5, 0.3,0.3,0.3,0.4),nrow=3, ncol=3, byrow = TRUE)

for (i in 1:3){
for (j in 1:3) {
port = sum((weight[i]^2) * (cov[i,i]^2)) + sum(weight[i] *weight[j]* cov[i,j]) }}

The answer if I calculate manually should be 0.336. But R gave me port=0.12 which is wrong. Where is my mistake?

Your calculation for port is only for the i = 3 and j = 3, so your loop isn't doing anything. I'm guessing you want to save the previous value for port each time you loop through. — admccurdy
– admccurdy, Commented Feb 5, 2016 at 14:46
Yes. It is a summation. So I need the previous value to sum it up. — NSAA
– NSAA, Commented Feb 5, 2016 at 14:48
may be you wanted to do port <- port+sum and use port<-0 before loop — Ananta
– Ananta, Commented Feb 5, 2016 at 14:50

Roland · Accepted Answer · 2016-02-05 15:14:36Z

1

First calculate the matrix product w %*% t(w):

tcrossprod(weight)
#     [,1] [,2] [,3]
#[1,] 0.09 0.06 0.15
#[2,] 0.06 0.04 0.10
#[3,] 0.15 0.10 0.25

Then multiply this with the variance-covariance matrix and take the sum of all elements:

sum(tcrossprod(weight) * cov)
#[1] 0.336

Or as a loop (inefficient):

port <- 0
for (i in 1:3){
  for (j in 1:3) {
    port  <- if (i == j) {
      port + sum((weight[i]^2) * (cov[i,i]))
    } else {
      port + sum(weight[i] *weight[j]* cov[i,j])
    } 
  }
}
port
#[1] 0.336

Note that the variance-covariance matrix typically contains the variances (sigma_i^2) on the diagonal.

edited Feb 5, 2016 at 15:14

answered Feb 5, 2016 at 15:02

Roland

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2 Comments

NSAA Over a year ago

Are you sure the answer is 0.336? I think I have calculated and my answer is 0.2516. But I may be wrong. I will check again. Thanks

Roland Over a year ago

@nsaa See the note at the end of my answer.

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