search for: feasibleportfolio

...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, constraints = "LongOnly") ewSpec is an object of type Portfolio Spec which has the following slots: model slot type = "MV" a string value optimize = "minRisk" a string value estimator = &qu...

Hi I'm getting the following errors while using the efficientPortfolio function even though I'm setting the target return to the mean of the TargetReturn I obtain from the portfolio object created by the feasiblePortfolio function. First Error: Error: targetReturn >= min(mu) is not TRUE Second Error: Error in .rquadprog(Dmat = args$Dmat, dvec = args$dvec, Amat = args$Amat, : NA/NaN/Inf in foreign function call (arg 8) I'm using a timeSeries created from daily stock prices of selected stocks on the Bomb...

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"), however, I get Error in .rquadprog(Dmat = args$Dmat, dvec = args$dvec, Amat = args$Amat, : NA/NaN/Inf in foreign function call (arg 8) Troubleshooting, it appe...