Displaying 6 results from an estimated 6 matches for "nasset".
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2009 Sep 29
3
How do I access class slots from C?
Hi
I'm trying to implement something 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&...
2009 Jul 10
3
strange strsplit gsub problem 0 is this a bug or a string length limitation?
...101+A102+A103+A104+A105+A106+A107+A108+A109+A110+A111+A112+A113
benchmarkName = as.character(backtestFormula)[2]
print(as.character(backtestFormula)[3])
print(benchmarkName)
assetsNames <- strsplit(gsub(" ", "", as.character(backtestFormula)[3]),
"\\+")[[1]]
nAssets = length(assetsNames)
print(nAssets)
list(assetsNames)
===============output:
> backtestFormula<-SPX~A1+A2+A3+A4+A5+A6+A7+A8+A9+A10+A11+A12+A13+A14+A15+A16+A17+A18+A19+A20+A21+A22+A23+A24+A25+A26+A27+A28+A29+A30+A31+A32+A33+A34+A35+A36+A37+A38+A39+A40+A41+A42+A43+A44+A45+A46+A47+A48+A49+A...
2012 Sep 04
0
Calculate a minimum-variance portfolio with fPortfolio
...ll, I don't know. The constraints seem good since I would be able to
construct an equal-weighted 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...
2010 Mar 17
1
accessing info in object slots from listed objects using loops
...list. I figure this is because R somehow
interpret "$" and "@" in get() differently than $ and @ as "list
separators".
Does anyone know how to extract information in slots of listed objects using
a loop and on the run generated variable/object names?
JT
sample code
nAssets = length(modelStack)
for(i in 1:nAssets){
name = paste("modelStack[",i,"]@name$series$h",sep="")
a = get(name)
t = length(a)
} # end for loop
--
View this message in context: http://n4.nabble.com/accessing-info-in-object-slot...
2008 Aug 12
1
fPortfolio constraints, maxsumW
...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()
setNFrontierPoints(Spec) = 150
Spec
Constraint = c("minW[1:nAssets]=0", "maxsumW[1:2Assets]=13.63")
frontier = portfolioFrontier(Data, Spec, Constraint)
**************Error message begins here***************
Error in parse(text = constraints[i]) :
unexpected symbol in "maxsumW[1:2Assets"
**************Error message ends here***********...
2008 Sep 03
1
portfolio.optim and assets with weigth equals to zero...
Hello.
I don't understand a particular output of portfolio.optim (tseries).
I have 4 assets and the portfolio.optim returns an asset with weight equals
to zero.
If I do a portfolio.optim with 3 assets, without the asset with weight
equals to zero,
it returns a completely different result.
That's I would expected the same weights as the run with 4 assets.
Below the code.
Thanks in