

Hello everyone,

I would like assistance with updating a snippet I have written to do a recursive out-of-sample portfolio optimization. 

The trouble I am having is with the fact that the return on the riskless asset is time varying and so is different in each period. 
This is what I have written so far but it does not work;

for (i in 1:648) optimized_port= rollapply(asset_forecast, width=1, 
function(x) portfolio.optim(data = as.data.frame(x), 
riskless=TRUE, shorts=TRUE, rf= cash_forecast[i,])), 
by.column = FALSE, by=1, align="right")

-cash_forecast is a 648x1 matrix having forecasted risk-free returns
-asset_forecast is a 648x7 matrix holding 7 forecasted asset class returns

Can someone point out how to incorporate the changing riskfree in this model.

Many thanks,
Darius
 		 	   		   		 	   		  
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