**Adventures in Statistical Computing**, and kindly contributed to R-bloggers)

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.

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!

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