R solve:system is exactly singular

Question

I am solving simple optimization problem. The data set has 26 columns and over 3000 rows. The source code looks like

Means   <- colMeans(Returns)
Sigma           


        

Answer 1

I guess your code uses somewhere in the second case a singular matrix (i.e. not invertible), and the solve function needs to invert it. This has nothing to do with the size but with the fact that some of your vectors are (probably) colinear.