Nothing
## Back-test function
BT <- function(DataSub, BLR){
DataSub <- as.timeSeries(DataSub)
PPrior <- tangencyPortfolio(data = DataSub, spec = MSPrior,
constraints = BoxC)
PBl <- tangencyPortfolio(data = DataSub, spec = MSBl,
constraints = BoxC)
Weights <- rbind(getWeights(PPrior), getWeights(PBl))
colnames(Weights) <- ANames
rownames(Weights) <- c("Prior", "BL")
return(Weights)
}
## Conducting back-test
Backtest <- list()
for(i in 1:length(idx)){
DataSub <- window(R, start = start(AssetsM), end = idx[i])
BLR <- PostDist[[i]]
Backtest[[i]] <- BT(DataSub, BLR)
}
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