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2018 May 03
2
adding overall constraint in optim()
...nter > > "The trouble with having an open mind is that people keep coming along > and sticking things into it." > -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) > > > On Thu, May 3, 2018 at 10:52 AM, Michael Ashton > <m.ashton at enduringinvestments.com> wrote: >> Hi ? >> >> This is giving me a headache. I?m trying to do a relatively simple optimization ? actually trying to approximate the output from the Excel Solver function but at roughly 1000x the speed. ? >> >> The optimization parameters look like...
2017 Jun 23
0
Simple control structure issue
R is a case-sensitive language: 'if' (lowercase 'i') is a keyword and 'If' (uppercase 'I') is not. Bill Dunlap TIBCO Software wdunlap tibco.com On Fri, Jun 23, 2017 at 1:00 PM, Michael Ashton < m.ashton at enduringinvestments.com> wrote: > I am having a hard time with 'next'. I come from the "sloppy" school that > learned BASIC with Goto. > > Conceptually next seems pretty straightforward. I just can't get it to > work correctly in my code. Here's a stripped down version...
2018 May 04
0
adding overall constraint in optim()
On Thu, May 3, 2018 at 2:03 PM, Michael Ashton <m.ashton at enduringinvestments.com> wrote: > Thanks Bert. But everyone on that forum wants to use finance tools rather than general optimization stuff! And I am not optimizing a traditional Markowitz mean-variance problem. Plus, smarter people here. :-) > I'm very confused by these statements. Most of the &quo...
2017 Jun 23
2
Simple control structure issue
I am having a hard time with 'next'. I come from the "sloppy" school that learned BASIC with Goto. Conceptually next seems pretty straightforward. I just can't get it to work correctly in my code. Here's a stripped down version: WhichRunNow<-"Daily" Cnums=c(0,1,"2b3") Cpers=c("Daily","Daily","Weekly") for (j in
2018 Mar 01
0
RExcel issues
> On Mar 1, 2018, at 2:02 PM, Michael Ashton <m.ashton at enduringinvestments.com> wrote: > > Hi - > > For a while I've used RExcel without problems to run a repeating portfolio optimization problem where I solve for a portfolio allocation targeting a particular risk, then solve for a different risk, etc. I call the commands with (e.g.) rinterface.R...
2018 May 06
1
adding overall constraint in optim()
...ed Mo.vect correctly? It is a scalar the way you have written it. 3. Similarly your definition of wgt.vect creates a scalar. HTH, Eric On Fri, May 4, 2018 at 5:18 AM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote: > On Thu, May 3, 2018 at 2:03 PM, Michael Ashton > <m.ashton at enduringinvestments.com> wrote: > > Thanks Bert. But everyone on that forum wants to use finance tools > rather than general optimization stuff! And I am not optimizing a > traditional Markowitz mean-variance problem. Plus, smarter people here. :-) > > > I'm very confused by these stat...
2018 Mar 01
3
RExcel issues
Hi - For a while I've used RExcel without problems to run a repeating portfolio optimization problem where I solve for a portfolio allocation targeting a particular risk, then solve for a different risk, etc. I call the commands with (e.g.) rinterface.Rrun "(R command)" Recently that macro started blowing up, returning #RErrors, and when I try to trace the error I find that it is
2018 May 03
4
adding overall constraint in optim()
Hi ? This is giving me a headache. I?m trying to do a relatively simple optimization ? actually trying to approximate the output from the Excel Solver function but at roughly 1000x the speed. ? The optimization parameters look like this. The only trouble is that I want to add a constraint that sum(wgt.vect)=1, and I can?t figure out how to do that in optim. Mo.vect <-
2018 May 03
0
adding overall constraint in optim()
...post your query. Cheers, Bert Bert Gunter "The trouble with having an open mind is that people keep coming along and sticking things into it." -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) On Thu, May 3, 2018 at 10:52 AM, Michael Ashton <m.ashton at enduringinvestments.com> wrote: > Hi ? > > This is giving me a headache. I?m trying to do a relatively simple optimization ? actually trying to approximate the output from the Excel Solver function but at roughly 1000x the speed. ? > > The optimization parameters look like this. The only trouble...
2018 May 05
1
adding overall constraint in optim()
Hi, You can use the projectLinear argument in BB::spg to optimize with linear equality/inequality constraints. Here is how you implement the constraint that all parameters sum to 1. require(BB) spg(par=p0, fn=myFn, project="projectLinear", projectArgs=list(A=matrix(1, 1, length(p0)), b=1, meq=1)) Hope this is helpful, Ravi [[alternative HTML version deleted]]
2018 Feb 02
0
command line fails
...--Original Message----- > From: Enrico Schumann [mailto:es at enricoschumann.net] > Sent: Friday, February 02, 2018 10:36 AM > To: Michael Ashton > Cc: Duncan Murdoch; r-help at r-project.org > Subject: Re: [R] command line fails > > > Quoting Michael Ashton <m.ashton at enduringinvestments.com>: > >> Fascinating. The script runs fine in 3.2.5, but won't run in 3.4.3 >> even with ALL lines commented out. >> >> I have no idea what that means. I can't imagine I found a 3.4.3 bug no >> one knows about. >> >> Michael Ashton, C...
2018 Feb 02
2
command line fails
Fascinating. The script runs fine in 3.2.5, but won't run in 3.4.3 even with ALL lines commented out. I have no idea what that means. I can't imagine I found a 3.4.3 bug no one knows about. Michael Ashton, CFA Managing Principal Enduring Investments LLC W: 973.457.4602 C: 551.655.8006 -----Original Message----- From: Duncan Murdoch [mailto:murdoch.duncan at gmail.com] Sent: Friday,
2010 Jan 21
0
fPortfolio prob: maxreturnPortfolio() returns Na/NaN/Inf error
Hi - First posting here. I am using fPortfolio to try and optimize a simple portfolio consisting of 5 daily return series. I want to maximize return subject to setTargetRisk(myspec)=0.08 using only constraints="LongOnly" I can run feasiblePortfolio() using a spec file that specifies the weights, and it works fine. When I run maxreturnPortfolio(mydata,myspec,"LongOnly"),
2018 Feb 02
2
command line fails
I don't think it's the path or the slashes. I run other files in this same manner, with the same path to the script itself, and they go off without a hitch. Although this is the first time I am using 3.4.3, and the only script I am using that version of R for at the moment. Having said that, I did TRY reversing the slashes and got the same result. :-) Michael Ashton, CFA Managing
2018 Feb 02
4
command line fails
Hi - Think this is quick help. Not sure how to trap what is causing my simple script to run fine in R, but fail immediately when called from rscript. I can put all sorts of traps in the script itself, but when called from the command line the r window simply flashes and closes. There's probably a way to find out why rscript is failing, but I don't know it and can't seem to find it