similar to: portfolio.optim and assets with weigth equals to zero...

Running R version 2.6.1 under Gentoo Linux and using the fPortfolio package, I am having trouble specifying a sector constraint. One of the constraints to be imposed is that assets 1 and 2 together account for no more than 13.63% of the portfolio. My attempt at coding that constraint, "maxsumW[1:2Assets]=13.63" fails. The relevant section of my code file and the resulting error

Hi I'm trying to implement something similar to the following R snippet using C. I seem to have hit the wall on accessing class slots using C. library(fPortfolio) lppData <- 100 * LPP2005.RET[, 1:6] ewSpec <- portfolioSpec() nAssets <- ncol(lppData) setWeights(ewSpec) <- rep(1/nAssets, times = nAssets) ewPortfolio <- feasiblePortfolio( data = lppData, spec = ewSpec,

Am I missing a Package? I'm not sure why is won't read the functions. Any help is much appreciated. > PData = Data[,3:10] > Spec = portfolioSpec() Error: could not find function "portfolioSpec" > setTargetReturn(Spec) = mean(colMeans(PData)) Error in setTargetReturn(Spec) = mean(colMeans(PData)) : object 'Spec' not found > Constraints =

Could anyone help me with some little problem? When I plot the frontier I get the following message: *"Error in dimnames(x) <- dn : length of 'dimnames' [1] not equal to array extent"*(see below for detail). How could I solve this. Thanks a lot. ##---------------------------- Portfolio construction & Optimisation------------------------ #Assets: LUTAX,

I was working with the rmetrics portfolioBacktesting function and dug into the code to try to find why my formula with 113 items, i.e. A1 thru A113, was being truncated and I only get 85 items, not 113. Is it due to a string length limitation in R or is it a bug in the strsplit or gsub functions, or in my string? I'd very much appreciate any suggestions ============Input script:

Hi, I am would like to ask few questions. I am trying to forecast hourly electricity prices by 24 hours ahead. I have hourly data starting from 2015*12*18 to 2017-10-24 and I have defined the data as time series as written in the code below. Then I am trying do neural network with 23 non-seasonal dummies and 1 seasonal dummy. But I don?t know whether training set is enough.( Guess it is 50

Hello everybody, I'm running into an issue with the fPortfolio package. 1. What I want: Calculate the minimum-variance portfolio on 20 assets with respect to the following constraints: - min weight per asset = 0% (i.e. no short-selling) - max weight per asset = 10% - min sum of asset weights = 100% (i.e. fully invested) - max sum of asset weights = 100% (i.e. no leverage) 2. What I

Hey, I have stacked a couple of garchFit objects in a list with names $fit1, $fit2, ..., $fiti assigning objects names using a loop, i.e. after running the loop modelStack = list($fit1, $fit2,...,$fiti). Thus the following apply; a = modelStack$fit2, then a is the second garchFit object of formal class 'fGarch' with 11 slots, @call, @formula... etc. I then want to extract information in

Dear All, I am using package fPortfolio to run minimum variance portfolio optimizations in R. I already know how to set portfolioSpecs, portfolio objects and constraints. Unfortunately I am not able to set the following type of constraints. I have a timeSeries object with returns data for roughly 1.5k assets for 261 subperiods (workingdays) and want to compute the global minimum variance

Hello all, I am running SLES9 with the latest kernel patches (2.6.5-7.282-bigsmp) and ocfs2 version (1.2.1-SLES), I was wondering if anyone had any info on if the latest ocfs2 will be included in SLES anytime soon. Or how to get the patches from Novell. Thanks in advance! - Andy Andy Kipp Network Administrator Velcro USA Inc. 406 Brown Ave. Manchester, NH 03103 Phone: (603) 222-4844 Email:

Hi all, I used the method described below to build client rpms with the source kit lustre-1.8.5.tar.gz. There was only one error reported during the make rpms, relating to lustre-iolit-1.2-root, but the rpms were built under /usr/src/packages/RPMS/x86_64. The rpms lustre-modules, lustre and lustre-tests were then installed smoothly without any complaints. But the subsequent "modprobe

I am doing Principal Component Analysis (PCA) on assets data for household income prediction. The problem is that the assets data are rank ordered (usually binary ... possess car/don't possess car), so the normal correlation is inappropriate for the calculation of the PCA. Instead one has to use the polychoric correlation coefficient. It uses the "random.polychor.pa" package.

Hi, I'm trying to set up samba share exporting gpfs filesystem and I strugle with setting sharemode to yes. Samba is 3.6.5, gpfs version is 3.2.1-29 (the latest available for 3.2 branch). Everything works fine when sharemode is set to no, but I'd rather insist to switch it to yes. That's what man page says: no - do not propagate sharemodes across all GPFS nodes. This should only be

Hello there, Could anybody please help on how to correctly use ggplot when printing irregural time series, by irregural here I mean for example the absence of some dates in the whole timespan of a dataset. To be more precise in the following example I generated some random data which spans the whole November up to now and dropped weekend days but for some reasons ggplot continues to plot the

Hello, After installing and loading the package "portfolio", I tried to run the example code provided, and it would not run. this is the link: http://rss.acs.unt.edu/Rdoc/library/tseries/html/portfolio.optim.html this is the example code, as found at the link: x <- rnorm(1000) dim(x) <- c(500,2) res <- portfolio.optim(x) res$pw the error I get is: Error: could not find

Potential bug: I mistyped weights in the call ('weigths') and it did not produce any error= message. The coefs were exactly the same like without weights, so I was su= spicious and when weights(nls1) gave NULL, I saw my typo. Usually the function will say "Unused arguments", which shows you the error= , but not nls. Regards Stephen [[alternative HTML version deleted]]

http://bugzilla.mindrot.org/show_bug.cgi?id=1102 Summary: C program 'write' with zero length hangs Product: Portable OpenSSH Version: 4.1p1 Platform: PPC OS/Version: AIX Status: NEW Severity: normal Priority: P2 Component: ssh AssignedTo: bitbucket at mindrot.org ReportedBy: timc at

Here is my dataframe with 1000 rows: employee_id weigth p-value 100 150 101 200 102 300 103 180 ..... My question: how can I calculate the p-value in R for each employee? the distribution of the weigth will be established from the above 1000 samples. -- View this message in context:

I'm trying to get a reference to this object in C SWX.RET[1:6,c("SBI,"SPI","SII")] While i am able to access and use a plain SWX.RET object, I'm getting confused on how to create an object with the array subscripts like above. Here is what I tried to do. It doesn't work because "[" is obviously not an operation or function on SWX.RET. So how do I

Hello everyone, I have been spending many hours on a seemingly simple portfolio optimization problem using the package fPortfolio. My optimization problem is slightly different than a standard one such that I have a known set of asset returns. My problem is how to collect this information into my functions and pass them onto the optimization function. I have written my own covariance estimation