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 get:
Execution stopped:
The minimum risk portfolio could not be computed.
Possible Reason:
Your portfolio constraints may be too restrictive.
Status Information:
status=1 from solver solveRquadprog.
Error:
returned from Rmetrics
3. Why I don't understand this error:
Well, I don't know. The constraints seem good since I would be able to
construct an equal-weighted portfolio that satisfies all of them (e.g. with
5% in each asset).
4. Reproducible example:
library(fPortfolio)
# Data
data <- SMALLCAP[, 1:20]
# Constraints
box.1 <- paste0("minW[1:nAssets] = ", 0)
box.2 <- paste0("maxW[1:nAssets] = ", 0.10)
box.3 <- "maxsumW[1:nAssets] = 1"
box.4 <- "minsumW[1:nAssets] = 1"
boxConstraints <- c(box.1, box.2, box.3, box.4)
# Portfolio Specs
Spec <- portfolioSpec()
# Calculate MinVar Portfolio
minvar <- minvariancePortfolio(
data = data,
spec = Spec,
constraints = boxConstraints)
5. Thanks a lot for your help!
Markus Douglas, Jr.
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