[R-SIG-Finance] fPortfolio: Extracting Weight Vectors for Frontier Points?
Vishal Belsare
shoot.spam at gmail.com
Mon Feb 28 21:40:11 CET 2011
Experimenting with the fPortfolio package, and computing the frontier
using some asset returns, a portfolio specification and some
constraints, I save that to an object, presumably of fPortfolio class.
I can print it,
summarize it, and plot it. However, I cannot figure out how to EXTRACT
the weight assigned to each asset on the many frontier points. If I
set the number of frontier points to compute at 50, the print and
summary will show only 5.
The 'getWeights' method will show only one vector and I don't know
which point it is for. Can you please enlighten about how to extract
the weight vector when there are say, 50 or 100 frontier points we
have computedr? I went through the the documentation for fPortfolio,
fAssets and other packages, but they don't have any information about
this.
The information is definitely in the object because I can plot the
weights across the assets in the risk-return space. I want to get
something like, a list of weight vectors, each vector corresponding to
the 'n' frontier points.
Thanks,
Vishal Belsare
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