[R-SIG-Finance] fPortfolio - Change in getWeights function
ymoser at gmail.com
Sun May 3 18:59:22 CEST 2009
I recently upgraded to the latest version of fPortfolio:
> Package: fPortfolio
> Version: 2100.77
> Revision: 4093
> Date: 2009-04-19
Has there been a change in the behaviour of the getWeights function?
In the previous versions, it used to return a matrix with the different
assets as the columns and the frontier points as the rows.
Now it only returns a single row, which appears to be the last point
that is found.
Do I need to change the syntax by which I call it?
Any help appreciated.
See sample code below.
Data <- as.timeSeries(data(SMALLCAP.RET))
Spec = portfolioSpec()
#portfolio returns 5 out of the 50 points as we expect.
# The weights are listed as well.
#frontierPoints returns a 2 X 50 matrix, as expected
#getWeights returns only one row...
>  2.258490e-08 0.000000e+00 1.000000e+00
>  1
More information about the R-SIG-Finance