Displaying 1 result from an estimated 1 matches for "maxreturnportfolio".
2010 Jan 21
0
fPortfolio prob: maxreturnPortfolio() returns Na/NaN/Inf error
...rtfolio 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 appears to be occurring in the routine eqsumWConstraints within .rquadprogArguments. Specifically, whe...