Not having played with portfolio.opim() much, I can't guarantee this
will fix it, but if it requires a matrix rather than a vector and you
are sure about the rest of the syntax, this might do the trick:
asset_forecast[i, , drop = FALSE]
This is because:
R> x = matrix(1:9, 3)
R> is.matrix(x[,1])
Hello everyone,
I would like assistance with a snippet I have written to do a recursive
portfolio optimization given time-varying return forecasts.
In my case, I have forecast the monthly returns for nearly 55 years out on 8
asset classes.
I need to calculate the weights for the optimal (
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