(This article was first published on

I realized that I made a mistake in the calculation of the market weight portfolio from the previous post. I hold constant the portfolio weights through time. These should be adjusted after each day as prices change. The market portfolio requires no re-balancing. What I have is, in essence, a re-balancing back to the original weights at the end of each day.**Adventures in Statistical Computing**, and kindly contributed to R-bloggers)The equal weight portfolio is OK. As we assume no transaction costs, it can be re-balanced daily. In fact, the constant weight is the key assumption of this portfolio, so it SHOULD be re-balanced daily.

The optimal portfolio model also has the same issue. We are implicitly re-balancing each day. Our assumption in the optimization was holding for the entire period.

I will make the corrections and post results and updated code. Being the holiday season, it might take a few days longer than normal.

Merry Christmas!

To

**leave a comment**for the author, please follow the link and comment on his blog:**Adventures in Statistical Computing**.R-bloggers.com offers

**daily e-mail updates**about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...