getWeights bug?

[Martin Maechler]

>>>>> Bruno Rossetto <brunorossetto.office at gmail.com>
>>>>>     on Mon, 12 Mar 2012 21:08:53 +0100 writes:

    > Hi!  I'm trying to use the weightsLinePlot function of the fPortfolio
    > library.

    > it seems to call the function getWeights(fPortfolioObject), which is
    > not returning a matrix, but a single vector(a single line). Thus the
    > weightsLinePlot is not working.

You are right.

I'm an Rmetrics-core member, but not at all involved in the
fPortfolio package.

After spending 15 minutes,
I'm pretty convinced that the bug may even be "earlier"
as it seems *MANY* parts of the code assume a that
getWeights() returns a matrix
{{and you are right it does not in this case}}.

    > Can you point me to a solution?

Let's hope for the Rmetrics-core members who have built
fPortfolio ....

Best regards,
Martin Maechler

 

    > Below some specs, the code and the output.

    >> version

    > _                            

    > platform       x86_64-pc-mingw32            

    > arch           x86_64                       

    > os             mingw32                      

    > system         x86_64, mingw32              

    > status                                      

    > major          2                            

    > minor          13.2                         

    > year           2011                         

    > month          09                           

    > day            30                           

    > svn rev        57111                        

    > language       R                            

    > version.string R version 2.13.2 (2011-09-30)

 

    >> library(fPortfolio)

    >> Data = SMALLCAP.RET

    >> Data = Data[, c("BKE", "GG", "GYMB", "KRON")]

    >> head(Data)

    >> Spec = portfolioSpec();

    >> frontier = portfolioFrontier(Data,Spec)

    >> getWeights(frontier)

    >> weightsLinePlot(frontier)

 

    > ##OUTPUT:

    >> frontier = portfolioFrontier(Data,Spec)

    >> getWeights(frontier)

    > [1] 0.000000e+00 1.805789e-08 1.000000e+00 0.000000e+00

    > attr(,"invest")

    > [1] 1

    >> weightsLinePlot(frontier)

    > Error in plot.window(xlim, ylim, log, ...) : 'xlim' value not valid

    >> 

 


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