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

[Alberto Santini]

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
-- 
View this message in context: http://www.nabble.com/portfolio.optim-and-assets-with-weigth-equals-to-zero...-tp19315076p19319949.html
Sent from the Rmetrics mailing list archive at Nabble.com.