[R-SIG-Finance] [R-sig-finance] portfolio.optim and assets with weigth equals to zero...
albertosantini at gmail.com
Thu Sep 4 23:13:14 CEST 2008
Robert Iquiapaza wrote:
> Your data is a little bit mess because of NAs. The different 'treatment'
> given to NAs by "coredata(get.hist.quote" and "as.timeSeries(returns" may
> explain some of the differences in the results. You are passing different
> set of returns. The first method passes a wrong returns matrix.
Sorry... but I don't see any NA. Never mind because I get the right hint to
understand the difference about the asset allocation with or without an
asset with weight equals to zero. See the thread.
About the asset allocation difference between tseries and Rmetrics, using
the same parameters (returns, solver, etc.), I will check your suggestion.
Thanks a lot for your support,
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