search for: portfolio

I''m a total Rails newbie and i''ve been struggling for hours today with one (prolly very silly) problem: I have a table portfolios that has many images: class Portfolio < ActiveRecord::Base has_many :images end class Image < ActiveRecord::Base belongs_to :portfolios end In the controller i define a list of active portfolios: @active_portfolios = Portfolio.find_all_by_is_active("1") In the view i render th...

Hello, After installing and loading the package "portfolio", I tried to run the example code provided, and it would not run. this is the link: http://rss.acs.unt.edu/Rdoc/library/tseries/html/portfolio.optim.html this is the example code, as found at the link: x <- rnorm(1000) dim(x) <- c(500,2) res <- portfolio.optim(x) res$pw the error...

At the risk of ridicule for my deficient linear algebra skills, I ask for help using the solve.QP function to do portfolio optimization. I am trying to following a textbook example and need help converting the problem into the format required by solve.QP. Below is my sample code if anyone is willing to go through it. This problem will not solve because it is not set up properly. I hope I included enough details for...

Hi everyone! I have a data frame with 1112 time series and I am going to randomly sampling r samples for z times to compose different portfolio size(r securities portfolio). As for r=2 and z=10000,that's: z=10000 A=seq(1:1112) x1=sample(A,z,replace =TRUE) x2=sample(A,z,replace =TRUE) M=cbind(x1,x2) # combination of 2 series Because in a portfolio with x1[i]=x2[i],(i=1,2,...,10000) means a 1 securities' portfolio,not 2 securities...

Dear All, I am using package fPortfolio to run minimum variance portfolio optimizations in R. I already know how to set portfolioSpecs, portfolio objects and constraints. Unfortunately I am not able to set the following type of constraints. I have a timeSeries object with returns data for roughly 1.5k assets for 261 subperiods (workingd...

Hi, I need some help with Portfolio Optimization problem. I am trying to find the minimum variance portfolio subjected to constraints on weights like /x1< w1 <x2 x3< w2 <x4</i> I need help with solving for the minimum variance portfolio as solve.QP doesn't allow me to specify the lower boundaries. Thanks Ma...

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 asse...

How to use R to solve the optimisaton problem Minimize: ?*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position ?*w^T*omega*w+mu^T*w-c^T(w-w0) for w<w0 short position W: is the update weight of portfolio Wo is the initial weight of portfolio Omega is the variance covariance matrix mu is the vector of return rate of stocks in the portfolio C is the vector coefficient of transaction cost Is it a quandratic programming problem? Then how to write the objective function? Or any other method to sol...

[whit at linuxsvr R.packages]$ sudo R CMD INSTALL portfolio.construction * Installing to library '/usr/local/lib64/R/library' * Installing *source* package 'portfolio.construction' ... ** R ** preparing package for lazy loading Loading required package: fts Loading required package: quadprog Loading required package: Rexcelpoi terminate call...

Hi, I''ve got a live_search field in a partial that is on several different pages. On all pages, except 1, it works fine. On the page it doesn''t work on, it seems it never executes it action. Here''s my observe_field code inside the partial: <h1><label for="searchtext">Live Search:</label></h1> <%= text_field_tag :searchtext

We would like to announce the availability of the 'portfolio' package in R for analysing equity portfolios. Version 0.2-0 is now available on CRAN. To take a look, you can: > install.packages("portfolio") ... > vignette("portfolio") and play around. Those who would just like to check out an introduction can simply look at:...

We would like to announce the availability of the 'portfolio' package in R for analysing equity portfolios. Version 0.2-0 is now available on CRAN. To take a look, you can: > install.packages("portfolio") ... > vignette("portfolio") and play around. Those who would just like to check out an introduction can simply look at:...

Hello everybody, I'm running into an issue with the fPortfolio package. 1. What I want: Calculate the minimum-variance portfolio on 20 assets with respect to the following constraints: - min weight per asset = 0% (i.e. no short-selling) - max weight per asset = 10% - min sum of asset weights = 100% (i.e. fully invested) - max sum of asset weights = 100% (...

....47, 170.9, 168.69, 170.9, 169.96), EURO = c(42.71, 42.68, 41.86, 44.71, 44.14, 44.58, 41.07, 42.23, 44.55, 41.12), CHF  = c(41.5, 41.47, 42.84, 43.44, 43.69, 42.3, 42.05, 41.23, 42.76, 43.79), AUD  = c(109.55, 102.52, 114.91, 122.48, 122.12, 123.96, 100.36, 110.19, 121.58, 103.46))   I have a portfolio consisting of some of these currencies.   At this moment, suppose my portfolio has following currency transactions. i.e following is my current portfolio and has 2 USD transactions, 2 EURO transactions and a CHF transactions.   portfolio_currency_names = c("USD", "USD", &q...

...$ $ scenario2 $ $ $ scenario3 $ $ $ ... I want to create an optimal portfolio of these strategies by applying a vector of weights. The weights will be the number of contracts of each to buy and won't be a percentage weighting. There are a few constraints I need it comply with: - The weights have to be integers - The minimum portfolio return (ER* Weights) across th...

...tunately, I get error messages from code I wrote. In the end only IDs 10 and 14 will receive interpolated values because all other NAs occur at the beginning of a level. My code is given below the dataset. ID is int St is factor with 3 levels timestamp is POSIXlt Price is num Data.frame name is portfolio ID St timestamp Price 1 A 2012-01-01 12:50:24.760 NA 2 A 2012-01-01 12:51:25.860 72.09 3 A 2012-01-01 12:52:21.613 72.09 4 A 2012-01-01 12:52:42.010 75.30 5 A 2012-01-01 12:52:42.113 75.30 6 B 2012-01-01 12:56...

Hi Has someone got a package/script at hand to do a historical simulation to calculate the Value at Risk? If your not sure what Historical Simulation is: In simple terms, Historical Simulation (HS) is just taking sample percentiles over a moving sample. Suppose we want to use HS to predict a portfolio's Value-at-Risk at a confidence level of 99 percent and the window size is chosen to be 250 trading days. Then the 1 percent sample percentile is some amount between the second worst portfolio loss and the third worst portfolio loss (since 250 ? 0.01 = 2.5). We decide to determine the Value-at-...

...min for each row of a matrix? I have a bug somewhere in the is section of code. My first guess is how I am find the the nonzero min of each row of my matrix. The overall idea is to make sure I am investing all of my money, i.e. new.set is a set of indicator variables for each stock for a particular portfolio, i.e. 0=did not buy, 1=bought. y are the stocks I could still buy, assuming I have the money, data3[,5] are their cost, so for each portfolio, i.e. the rows of new.set I have the option to purchase another stock at a cost listed in the rows of variable remain. Obvisouly the cheapest stock needs to...

A new version of package 'portfolio' is now available on CRAN. Also available are new packages 'backtest', for basic spread-based hypothesis testing, and 'portfolioSim', a general framework for portfolio simulation. Last March we wrote R-packages regarding our desire to build a suite of tools for portfolio analy...

Burns Statistics has just released its POP Portfolio Optimizer, which is available for a license fee. This has an interface designed to run under either S-PLUS or R. In addition to portfolio selection and asset allocation, there is functionality to generate random portfolios, and to estimate statistical factor models. The website includes a new w...