[R-SIG-Finance] [R-sig-finance] portfolio.optim and assets with weigth equals to zero...
albertosantini at gmail.com
Fri Sep 5 15:53:00 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.
Ok... I verified again and I note NAs. In my Rmetrics example I introduced
NAs in the return time series, because, in the week, the day of the close
price is different for each asset.
View this message in context: http://www.nabble.com/portfolio.optim-and-assets-with-weigth-equals-to-zero...-tp19315076p19331721.html
Sent from the Rmetrics mailing list archive at Nabble.com.
More information about the R-SIG-Finance