[R] portfolio.optim and assets with weigth equals to zero...

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.

Re: [R] portfolio.optim and assets with weigth equals to zero...

I tried with Rmetrics too, but the behaviour is the same. So I am missing something... Very interesting to understand why. :) I think it's a numerical problem: maybe, zero is not zero, it's very near to zero. Regards, Alberto Santini - require(fPortfolio)