Displaying 2 results from an estimated 2 matches for "rquadprog".
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quadprog
2009 Nov 11
1
Help with fPortfolio
...llowing errors while using the efficientPortfolio function
even though I'm setting the target return to the mean of the TargetReturn I
obtain from the portfolio object created by the feasiblePortfolio function.
First Error:
Error: targetReturn >= min(mu) is not TRUE
Second Error:
Error in .rquadprog(Dmat = args$Dmat, dvec = args$dvec, Amat = args$Amat, :
NA/NaN/Inf in foreign function call (arg 8)
I'm using a timeSeries created from daily stock prices of selected stocks on
the Bombay Sensex. My timeSeries is of the following format
date stock1 stock2 stock3
I don't understand wh...
2010 Jan 21
0
fPortfolio prob: maxreturnPortfolio() returns Na/NaN/Inf error
.... I want to maximize return subject to setTargetRisk(myspec)=0.08 using only constraints="LongOnly"
I can run feasiblePortfolio() using a spec file that specifies the weights, and it works fine.
When I run maxreturnPortfolio(mydata,myspec,"LongOnly"), however, I get
Error in .rquadprog(Dmat = args$Dmat, dvec = args$dvec, Amat = args$Amat, :
NA/NaN/Inf in foreign function call (arg 8)
Troubleshooting, it appears to be occurring in the routine eqsumWConstraints within .rquadprogArguments. Specifically, when that routine calls
ceq <- c(Return = targetReturn, Budget = -1)
it...