search for: assets2

Hello. I don't understand a particular output of portfolio.optim (tseries). I have 4 assets and the portfolio.optim returns an asset with weight equals to zero. If I do a portfolio.optim with 3 assets, without the asset with weight equals to zero, it returns a completely different result. That's I would expected the same weights as the run with 4 assets. Below the code. Thanks in

...ulation of the PCA. Instead one has to use the polychoric correlation coefficient. It uses the "random.polychor.pa" package. Scenario 1 If i only use PCA without using polychoric correlation assets.pca <- princomp(covmat = assets, scores=T) assets$income<-predict(assets2.pca)[,1] # these predict the coefficient for  income for each observation Scenario 2 but when i run "hetcor" (for polychoric correlation coefficient) , and then princomp (for PCA) and finally predict ( to  predict th...