search for: targetreturn

Hi I'm getting the following 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 timeS...

...34 -0.059 -0.023 -0.021 0.023 0.008 0.028 -0.004 -0.043 0.019 0.032 -0.014 -0.025 WEYER 1-Jan-78 -0.116 1-Feb-78 -0.135 1-Mar-78 0.084 1-Apr-78 0.144 1-May-78 -0.031 1-Jun-78 0.005 > > ## Markowitz Portfolios: > myPortfolio = portfolioMarkowitz(berndtAssets, targetReturn = >20/100/12) Error in portfolioMarkowitz(berndtAssets, targetReturn = 20/100/12) : Object "pfolio" not found >version _ platform i386-pc-mingw32 arch i386 os mingw32 system i386, mingw32 status Patched major 2 minor 1.0 year 2005 month...

...optimize = "minRisk" a string value estimator = "covEstimator" a function name tailRisk = list() a list params = list(alpha=0.05, a=1, ...) a list portfolio slot a list weights = NULL a numeric vector targetReturn = 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 = "solveRquadp...

...er, 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 produces > ceq Return Budget NA -1 And that NA causes .rquadprog to spew, I think, when it reaches the line optim = .Fortran("qpgen2", as.double(Dmat), dvec = as.double(dvec), as.integer(n), as.integer(n), sol = as.double(rep(0, n)),...

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