R finance portfolio optimization

Portfolio Optimization in R, Part 4 Redeux

January 2, 2012 | DomPazz

So where did we mess up? In the calculation of returns for the market cap weighted portfolio andthe portfolio optimization portfolio, we simply took the starting weights (W0)and multiplied them by the relevant series of returns.resEqual = as.matri...
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Portfolio Optimization in R, a previous error.

December 25, 2011 | DomPazz

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 re...
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