[R-SIG-Finance] [R-sig-finance] portfolio.optim and assets with weigth equals to zero...

Alberto Santini albertosantini at gmail.com
Thu Sep 4 23:05:25 CEST 2008



Guy Yollin-2 wrote:
> 
> Alberto,
> 
> When passing just a matrix to portfolio.optim, the required portfolio
> return defaults to the mean of the matrix.
> 
> Since mean(x) and mean(x2) are different, your weights are different.
> 

Simple and plain: this is the answer. Thanks a lot.


Guy Yollin-2 wrote:
> 
> You would get the same weights in the 2nd call if it were:
> 
> res <- portfolio.optim(x2,pm=mean(x))
> 

Correct, if I set the same target return the weights returned are the same.
I was concentrated only on the covariance matrix. 

Thanks again,
Alberto Santini
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