vectors with mma
- To: mathgroup at yoda.physics.unc.edu
- Subject: vectors with mma
- From: BENNINGA at wilma.wharton.upenn.edu
- Date: Sun, 25 Oct 92 11:37 EDT
October 25, 1992
Dear Mathematica support:
This is a not-especially intelligent query about (I think)
writing a vector-dependent program in Mma.
I'm trying to write a small program to do portfolio problems in
finance. I want to both manipulate numbers and do analytics.
Here's part of the program:
Clear[S,X,Y,x,n,ER,ERp,Varp,Var,V]
n=4;
X=Array[x,n]; (* portfolio proportions *)
Y=Array[ER,n]; (* vector of expected asset returns *)
S=Array[V,{n,n}]; (* variance/covariance matrix *)
ERp=X.Y; (* expected portfolio return *)
Varp=X.S.X; (* portfolio variance *)
D[ERp,x[1]]
D[Varp,x[1]]
This program produces the correct output: I.e., the last two
lines produce the derviative of ERp wrt x[1] and the derivative
of Varp wrt x[1].
Now suppose I try to put numerical values in for X, Y, and S.
For instance, the next cell of this program has the following:
Y={6,7,8,9};
S = {{10,2,4,5},{2,20,4,1},{4,4,40,10},{5,1,10,60}};
X = {0.4919379941,0.2998194609,0.1116229845,0.0966195605};
ERp
I would have thought that this cell should produce a numerical
answer. However, it only produces the following:
ER[1] x[1] + ER[2] x[2] + ER[3] x[3] + ER[4] x[4]
Can anyone tell me what I'm doing wrong?
Simon Benninga
Finance Department
Wharton School
University of Pennsylvania
BENNINGA at WHARTON.UPENN.EDU
FAX: 215-898-6200
TEL: 215-898-9466
P.S. As you can see, I'm new to Mma. I'm using version 2.1 for
MS-DOS Windows. If anyone out there is doing finance with Mma,
I'd be interested in making contact.