[R-SIG-Finance] Rmetrics Portfolio Optimization issue

[tonyp]

Hi guys, 

I am using the off-the-shelf codes from the fPortfolio Rmetrics book and for
some reason when I run CVaR or any other optimization from the book code I
get errors. Can you help how to adjust the code?

R1, R5, R2 are return series of assets. 

There are the problems I have:

Error in `colnames<-`(`*tmp*`, value = c("R1", "R5", "R2",  : 
  attempt to set colnames on object with less than two dimensions
In addition: Warning messages:
1: 'cov' is deprecated.
Use 'ccov' instead.
See help("Deprecated") 
2: 'cov' is deprecated.
Use 'ccov' instead.
See help("Deprecated") 


Thanks for the help in advance.
Best wishes,
T

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