‘../tests/SP500-ex.R’ tweaks to pass on 'M1mac' (Mac "Big Sur" M1 proc. arm64)
‘../tests/SP500-ex.R’: new main tweak: set all weights < 1e-10 to zero .
Should finally work on Solaris 32-bit
CLA(mu, covar, ..) gets new option
check.cov which by default
TRUE and hence checks if the covariance matrix
is positive definite.
CLA() for small cases may have "empty" new lambda even
when there free weights left. This is now caught, with a warning unless
check.f is set to false. See new example
the platform dependent tests in ‘../tests/SP500-ex.R’ now should also work on Solaris 32-bit.
modularized partly platform dependent testing into
moreSessionInfo() in ‘./xtraR/platform-sessionInfo.R’;
updated to newest version from robustbase (so to detect KH's debian
Not back-compatible changed result: The very
first “turning point” from the algorithm with (
= NA etc) is no longer stored as part of the result, compatibly
with the litterature and other implementations.
Added data set
muS.10ex orginally from Markowitz and Todd.
Added ‘NEWS’ file.
, drop=FALSE in internal
e.g., for the
Test works with old R 3.3.x.
In some cases such as
muS.10ex, the last turning
lambda=0 was not computed previously.
adapt ‘man/findSig.Rd’ example to R 3.6.0's new default
Run the ‘tests/*.R’ with R versions that use one OpenBLAS, ATLAS, or MKL (and skip some tests on these).
plot() method base on Shi's
Literature references in
findSig.1() now works.
test also works in R configured with
First release to CRAN