[R-SIG-Finance] a problem with stockPortfolio without short selling

[aschmid1]

Hi,
Here is my script:

> library(stockPortfolio)
> ticker<-c("SPY", "XLK", "XLE", "XLY", "XLU")
> stockData <- getReturns(ticker, freq="day", get="overlapOnly", 
> start='2010-01-02', end='2012-12-31')
> modelS<-stockModel(stockData, model='SIM', index=1)
> opS<-optimalPort(modelS)

So far, so good... Then I do the same without short selling:


> modelL<-stockModel(stockData, model='SIM', index=1, shortSelling="n")
> opL<-optimalPort(modelL)

... and get an error message: "Error in model$COV[these, these] : 
incorrect number of dimensions"

Note that covariances of modelS and modelL are equal:

> modelS$COV==modelL$COV
      [,1] [,2] [,3] [,4]
[1,] TRUE TRUE TRUE TRUE
[2,] TRUE TRUE TRUE TRUE
[3,] TRUE TRUE TRUE TRUE
[4,] TRUE TRUE TRUE TRUE


Thanks! Alec