Displaying 2 results from an estimated 2 matches for "minsumw".
2017 Dec 27
1
Error in dimnames in R
...uot;minW[6:6]=0.05","maxW[6:6]=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...
2012 Sep 04
0
Calculate a minimum-variance portfolio with fPortfolio
...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)
5. Thanks a lot for your help!
Markus Dougl...