[R-SIG-Finance] fPortfolio: Extracting Weight Vectors for FrontierPoints?

Ledon, Alain - Eqty NY alain.ledonwong at baml.com
Mon Feb 28 22:25:40 CET 2011

Try this example:

> library(fPortfolio)
> returnData <- 100 * LPP2005.RET[, 1:6]
> portfSpec <- portfolioSpec()
> setNFrontierPoints(portfSpec) <- 5
> longFrontier <- portfolioFrontier(returnData, portfSpec)
> longFrontier at portfolio

The portfolio slot has all the information you are looking for


-----Original Message-----
From: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Vishal Belsare
Sent: Monday, February 28, 2011 3:40 PM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] fPortfolio: Extracting Weight Vectors for

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

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.

Vishal Belsare

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