search for: maxsumw

Running R version 2.6.1 under Gentoo Linux and using the fPortfolio package, I am having trouble specifying a sector constraint. One of the constraints to be imposed is that assets 1 and 2 together account for no more than 13.63% of the portfolio. My attempt at coding that constraint, "maxsumW[1:2Assets]=13.63" fails. The relevant section of my code file and the resulting error message are pasted below. Suggestions about how to correct my coding would be most welcome. *************Code beings here************************ Data = as.timeSeries(Jdata) Spec = portfolioSpec() setNFr...

...:6]=0.10", "minW[7:7]=0.05","maxW[7:7]=0.10","minW[8:8]=0.08","maxW[8:8]=0.12", "minW[9:9]=0.05","maxW[9:9]=0.10","minW[10:10]=0.08","maxW[10:10]=0.12", "minsumW[c(1:1,2:2)]=0.27","maxsumW[c(1:1,2:2)]=0.33", "minsumW[c(3:3,4:4,6:6,10:10)]=0.37","maxsumW[c(3:3,4:4,6:6,10:10)]=0.43", "minsumW[c(5:5,7:7,8:8,9:9)]=0.27","maxsumW[c(5:5,7:7,8:8,9:9)]=0.33", "maxsumW[c(1:1,2:2,3:3,4:4,5:5,6:6,7:7,8:8,9:9,10:10)]=1")...

...ted 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)...