search for: portfolioanalytics

Hi, I am trying to install a package (PortfolioAnalytics) of R 2.15.2 on Win 7. I have tried the following instructions on : http://stackoverflow.com/questions/11105131/cannot-install-r-forge-package-using-install-packages I used svn checkout svn://svn.r-forge.r-project.org/svnroot/returnanalytics/ to get the package and then copy it to my Win 7....

...tuff! And I am not optimizing a traditional Markowitz mean-variance problem. Plus, smarter people here. :-) > I'm very confused by these statements. Most of the "finance tools" use general-purpose global and/or stochastic optimization packages (e.g. rugarch uses nloptr and Rsolnp, PortfolioAnalytics uses DEoptim, pso, GenSA). And most (all?) of those optimization packages have ways to specify box, equality, and nonlinear inequality constraints. And I can't recall the last time someone emailed the list about optimizing a traditional Markowitz mean-variance problem... maybe 10 years ago?...

...zing a > traditional Markowitz mean-variance problem. Plus, smarter people here. :-) > > > I'm very confused by these statements. Most of the "finance tools" > use general-purpose global and/or stochastic optimization packages > (e.g. rugarch uses nloptr and Rsolnp, PortfolioAnalytics uses DEoptim, > pso, GenSA). And most (all?) of those optimization packages have ways > to specify box, equality, and nonlinear inequality constraints. > > And I can't recall the last time someone emailed the list about > optimizing a traditional Markowitz mean-variance problem....

Thanks Bert. But everyone on that forum wants to use finance tools rather than general optimization stuff! And I am not optimizing a traditional Markowitz mean-variance problem. Plus, smarter people here. :-) > On May 3, 2018, at 3:01 PM, Bert Gunter <bgunter.4567 at gmail.com> wrote: > > You can't -- at least as I read the docs for ?optim (but I'm pretty > ignorant

...s would > have to attach it to use them), or whether they should be in rgl, but > fail if the new package is not available for loading. > > Can people suggest other packages that solve this kind of problem in a > good way? We have a number of functions in PerformanceAnalytics or PortfolioAnalytics that rely on packages in 'Suggests'. The model we have chiefly used is stopifnot("package:MASS" %in% search() || require("MASS",quietly=TRUE)) of course, it is now no longer recommended to do it this way, so we'll probably need to test and load namespaces instead...

...data.net To the extent it helps others, here is the script that I was working on an which turns a given MINE output column (in the case below, the third column corresponding to "MIC") into a matrix. Hope it helps, Matt #needed for MINE routine require(rJava) #load market data require(PortfolioAnalytics) data(indexes) #write CSV file of data to current working directory datafilename <- "indexes.csv" write.table(indexes, datafilename, sep=",", col.names=TRUE, row.names=FALSE, quote=FALSE, na="NA") #read MINE R code source.with.encoding('MINE.r', encoding=...

I'm planning on adding some new WebGL functionality to the rgl package, but it will pull in a very large number of dependencies. Since many people won't need it, I'd like to make the new parts optional. The general idea I'm thinking of is to put the new stuff into a separate package, and have rgl "Suggest" it. But I'm not sure whether these functions should

...https://stat.ethz.ch/pipermail/r-help/2008-September/174516.html but it appears to only partially fill in the matrix. My code and an example of the output is below. Can anyone point me to an example that shows how to create a matrix with this sort of input? Thank you in advance, Matt require(PortfolioAnalytics) #load market index data data(indexes) #save data as a CSV write.table(indexes, "C:/Rwork/indexes.csv", sep=",", col.names=TRUE, row.names=FALSE, quote=FALSE, na="NA") #assumes rJava is installed, MINE.r and MINE.jar are in the working directory #read in MINE.r sou...