search for: longonly

...ssing 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 = "covEstimator" a function name tailRisk = list()...

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 cal...

...s 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 = "LongOnly" > efficientPortfolio(PData, Spec, Constraints) Error: could not find function "efficientPortfolio" > Frontier = portfolioFrontier(PData) Error: could not find function "portfolioFrontier" > frontierPlot(Frontier, col = c("orange", "orange"), pc...

John, and the Samba community, Thanks for all your previous help. We are writing to clarify a couple of questions that arose from our reading of Samba 3 Official Documentation - Chapter 6: Backup Domain Control (see the quoted paragraphs below). Question 1 / Scenario 1: Trust Domain Account Relationships Houston: PDC (functioning as centralized domain SAM) | Trust Domain Account Relationship |