Displaying 3 results from an estimated 3 matches for "solverquadprog".
2009 Sep 29
3
How do I access class slots from C?
...argetReturn = NULL a numeric value
targetRisk = NULL a numeric value
riskFreeRate = 0 a numeric value
nFrontierPoints = 50 an integer value
status = NA) a integer value
optim slot a list
solver = "solveRquadprog" a function names
objective = NULL function names
options = list() a list with parameters
control = list() a list with controls
trace = FALSE) a logical
messages slot: a list
list = list()...
2017 Dec 27
1
Error in dimnames in R
...assets (excluding NA's)
portfolio_returns <- merge(LUTAX,
PFODX,BRGAX,GFAFX,NMSAX,EGINX,IPOYX,SCWFX,FGLDX,PAGEX,all=F)
data <- as.timeSeries(portfolio_returns)
#Optimisation portfolio
library(fPortfolio)
spec <- portfolioSpec()
setNFrontierPoints <- 25
setSolver(spec) <- "solveRquadprog"
constraints <-
c("minW[1:1]=0.12","maxW[1:1]=0.18","minW[2:2]=0.12","maxW[2:2]=0.18",
"minW[3:3]=0.10","maxW[3:3]=0.15","minW[4:4]=0.08","maxW[4:4]=0.12",
"minW[5:5]=0.08","maxW[5:5]=0.12"...
2012 Sep 04
0
Calculate a minimum-variance portfolio with fPortfolio
...of asset weights = 100% (i.e. fully invested)
- max sum of asset weights = 100% (i.e. no leverage)
2. What I get:
Execution stopped:
The minimum risk portfolio could not be computed.
Possible Reason:
Your portfolio constraints may be too restrictive.
Status Information:
status=1 from solver solveRquadprog.
Error:
returned from Rmetrics
3. Why I don't understand this error:
Well, 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)...