r

Question

我正在尝试获取多个时期内均值方差投资组合的权重。我的出发点是这段代码：

    library(quadprog) 
    library(tseries)   
    mu <- colMeans(log.excess.returns[1:61,])
        grid <- seq(from = 0.01, to = max(mu), length.out = 61)
        vpm <- vpsd <- rep(NA, times = 61)
        mweights <- matrix(NA, 61, 40) # 40 stocks
        for(i in 1:length(grid)) {
          opt <- portfolio.optim(x = log.excess.returns[1:61,], pm = grid[i])
          vpm[i] <- opt$pm  
          vpsd[i] <- opt$ps
          mweights[i, ] <- opt$pw
        }
        minvar_weight <- mweights[vpsd == min(vpsd),]

但是，我只能从此代码中获得下一个周期的最佳权重，因此我尝试为多个周期创建以下函数：

    ret.expanding <- lapply(61:nrow(log.excess.returns), function(i) log.excess.returns[1:i,])

    opt.portf <- function(returns) {
    mu = colMeans(returns)  
    grid = seq(from = 0.01, to = max(mu), length.out = length(mu))
    vpm = vpsd = rep(NA, times = length(mu))
    mweights = matrix(NA, length(mu), 40)
    for(i in 1:length(grid)) {
      opt <- portfolio.optim(returns, pm = grid[i], shorts = TRUE) # shorts = TRUE for the code to work
      vpm[i] <- opt$pm  
      vpsd[i] <- opt$ps
      mweights[i, ] <- opt$pw
      }
    }

    weight = sapply(1:192, function(i) opt.portf(ret.expanding[[i]]))

当我检查体重时，它包含192个显示NULL的列表。我怎样才能解决这个问题？