[R] portfolio.optim and assets with weigth equals to zero...

[Alberto Santini]

Hello.

I don't understand a particular output of portfolio.optim (tseries).
I have 4 assets and the portfolio.optim returns an asset with weight equals
to zero.
If I do a portfolio.optim with 3 assets, without the asset with weight
equals to zero,
it returns a completely different result.

That's I would expected the same weights as the run with 4 assets.

Below the code.

Thanks in advance,
Alberto Santini


-------------------------------------

require(tseries)

f.mi <- coredata(get.hist.quote("F.MI", start="2006-09-03", compression="w",
quote="Close"))
eng.mi <- coredata(get.hist.quote("ENG.MI", start="2006-09-03",
compression="w", quote="Close"))
tis.mi <- coredata(get.hist.quote("TIS.MI", start="2006-09-03",
compression="w", quote="Close"))
spmib <- coredata(get.hist.quote("^SPMIB", start="2006-09-03",
compression="w", quote="Close"))

f.mi.rets <- diff(log(f.mi[1:(length(f.mi)-1)]))
eng.mi.rets <- diff(log(eng.mi[1:(length(eng.mi)-1)]))
tis.mi.rets <- diff(log(tis.mi[1:(length(tis.mi)-1)]))
spmib.rets <- diff(log(spmib[1:(length(spmib)-1)]))

x <- cbind(f.mi.rets, eng.mi.rets, tis.mi.rets, spmib.rets)
res <- portfolio.optim(x);
res$pw

x2 <- cbind(f.mi.rets, eng.mi.rets, spmib.rets)
res <- portfolio.optim(x2);
res$pw

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