How to save the output list from a for loop

Question

I have lists named dat and res with 33 datasets each. Iam running global minimum variance portfolios with a for loop like this:

for(i in dat) {
N <- ncol(i)
Amat <- t(rbind( rep(1,N), diag(rep(1,N)), diag(rep(-1,N))))
bvec <- c(1 , rep(0,N), rep(-0.15,N))
Dmat <- cov.shrink(i) #from tawny package 
dvec <- rep(0,N)
mvw <- solve.QP( Dmat, dvec, Amat, bvec, meq = 1 )$solution #from quadprog package
names(mvw) = colnames(i)
}

Its working, but saves only the last iteration of course. I dont know how to save them all. I need to save all the 33 mvw results in a list. How can I do it?

After that, i have to evaluate the results of mvw with the equivalent resdatasets:

mvwreturns = res%*%matrix(mvw,ncol=1)

This command give me the portfolio returs evaluated for each period. Each mvw data matches with one res dataset. How can I do this? Iam wondering if I have to run another for loop.

Any help is appreciated. Sorry for my poor english.

LyzandeR · Accepted Answer · 2014-11-29 23:41:52Z

1

You can do the following:

Initiate an empty list mvw before the loop. Then add each dataset as a new element in the list:

mvw <- NULL #initiate list
counter <- 1
for(i in dat ) { 
N <- ncol(i)
Amat <- t(rbind( rep(1,N), diag(rep(1,N)), diag(rep(-1,N))))
bvec <- c(1 , rep(0,N), rep(-0.15,N))
Dmat <- cov.shrink(i) #from tawny package 
dvec <- rep(0,N)
mvw[[counter]] <- solve.QP( Dmat, dvec, Amat, bvec, meq = 1 )$solution) #from quadprog package
#for each iteration mvw will be stored as the i-th element in a list
names(mvw[[counter]]) = names(i)
counter <- counter + 1
}

Then just do another small loop, same way as before, to do what you want:

mvwreturns <- NULL
for ( i in 1:length(mvw) {
      mvwreturns[i] = res[i]%*%matrix(mvw[i],ncol=1)
}

Sorry, I do not have any data to run your script but you get the idea.

Hope it helps.

edited Nov 29, 2014 at 23:41

answered Nov 29, 2014 at 20:39

LyzandeR

38k12 gold badges84 silver badges90 bronze badges

Sign up to request clarification or add additional context in comments.

3 Comments

Jorge Dias Over a year ago

Man! Thanks a lot for teaching me These stuff! I really liked that! And again , sorry for my poor Inglês and most of all sorry for your time!

LyzandeR Over a year ago

That is absolutely fine :). Don't worry about it, it's my pleasure. It makes me happy to help. And I think your English is great, I was able to get everything. Have fun!

Jorge Dias Over a year ago

Thank you! I still have 2 or 3 steps to accomplish yet! I will try hard, but if I get stuck I think I´ll need some extra help!! LOL

Oliver Keyes · Accepted Answer · 2014-11-29 20:14:29Z

0

Instead of using a for-loop, check out mapply. Save the code you want to run over each entry into a function that returns mvw, push dat and res into a mapply call with said function, and it should split out a list of the result set for each element from dat and res.

answered Nov 29, 2014 at 20:14

Oliver Keyes

3,3742 gold badges19 silver badges24 bronze badges

1 Comment

Jorge Dias Over a year ago

Thank you for your answer. I just didnt get what you are suggesting. I dont have such experience in R. Tks anyway.

Collectives™ on Stack Overflow

How to save the output list from a for loop

2 Answers 2

3 Comments

1 Comment

Your Answer

Hot Network Questions

Collectives™ on Stack Overflow

2 Answers 2

3 Comments

1 Comment

Your Answer

Sign up or log in

Post as a guest

Related