R help - Aug 2008 - fPortfolio constraints, maxsumW

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 message are pasted below. 
Suggestions about how to correct my coding would be most welcome.

*************Code beings here************************
Data = as.timeSeries(Jdata)
Spec = portfolioSpec()
setNFrontierPoints(Spec) = 150
Spec
Constraint = c("minW[1:nAssets]=0",
"maxsumW[1:2Assets]=13.63")
frontier = portfolioFrontier(Data, Spec, Constraint)
**************Error message begins here***************
Error in parse(text = constraints[i]) :
   unexpected symbol in "maxsumW[1:2Assets"
**************Error message ends here******************

-John

-- 
John P. Burkett
Department of Environmental and Natural Resource Economics
and Department of Economics
University of Rhode Island
Kingston, RI 02881-0808
USA

phone (401) 874-9195

>>>> "JPB" == "John P. Burkett" <burkett at
uri.edu>
>>>> on Tue, 12 Aug 2008 10:46:28 -0400
   JPB> Running R version 2.6.1 under Gentoo Linux and using the fPortfolio 
   JPB> package, I am having trouble specifying a sector constraint. One of
the
   JPB> constraints to be imposed is that assets 1 and 2 together account for
no
   JPB> more than 13.63% of the portfolio.  My attempt at coding that 
   JPB> constraint, "maxsumW[1:2Assets]=13.63"  fails.  The
relevant section of
   JPB> my code file and the resulting error message are pasted below. 
   JPB> Suggestions about how to correct my coding would be most welcome.
   JPB> 
   JPB> *************Code beings here************************
   JPB> Data = as.timeSeries(Jdata)
   JPB> Spec = portfolioSpec()
   JPB> setNFrontierPoints(Spec) = 150
   JPB> Spec
   JPB> Constraint = c("minW[1:nAssets]=0",
"maxsumW[1:2Assets]=13.63")
   JPB> frontier = portfolioFrontier(Data, Spec, Constraint)
   JPB> **************Error message begins here***************
   JPB> Error in parse(text = constraints[i]) :
   JPB>    unexpected symbol in "maxsumW[1:2Assets"
   JPB> **************Error message ends here******************
   JPB> 
   JPB> -John



Hi John,

you should use 0.1363 instead of 13.63...

hope this helps,
yohan

-- 
PhD student
Swiss Federal Institute of Technology
Zurich

www.ethz.ch