[R-SIG-Finance] PerformanceAnalytics: Error computing component-VaR using method="kernel"

Gero Schwenk gero.schwenk at web.de
Sat Jan 1 18:23:57 CET 2011

Hi there and a happy new year!
I've got a question regarding the VaR-function from the 
PerformanceAnalytics-package. When I call it in order to compute VaR 
contributions using the nonparametric kernel estimator, I get an error 
report. Obviously this is independent of my data, because I can 
replicate it using the edhec example data, as shown below. Does anybody 
have a hint how to deal with this problem?



VaR(R=edhec, method="kernel", portfolio_method = "component")


 > VaR(R=edhec, method="kernel", portfolio_method = "component")
no weights passed in, assuming equal weighted portfolio
Fehler in `colnames<-`(`*tmp*`, value = c("Convertible Arbitrage", "CTA 
Global",  :
  attempt to set colnames on object with less than two dimensions

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