similar to: Problems plotting the efficient frontier with fPortfolio

Running R version 2.6.1 under Gentoo Linux and using the fPortfolio package, I am having trouble specifying a sector constraint. One of the constraints to be imposed is that assets 1 and 2 together account for no more than 13.63% of the portfolio. My attempt at coding that constraint, "maxsumW[1:2Assets]=13.63" fails. The relevant section of my code file and the resulting error

Hello, I have a problem with fPortfolio recently. I am using below code: Data = read.table("hf.txt",header = TRUE,sep = "") Data = Data[, c("CA", "SS", "EM", "EMN", "ED", "DS", "MS", "RA", "FIA", "GM", "LSE", "MF", "SP500", "NASDAQ",

Could anyone help me with some little problem? When I plot the frontier I get the following message: *"Error in dimnames(x) <- dn : length of 'dimnames' [1] not equal to array extent"*(see below for detail). How could I solve this. Thanks a lot. ##---------------------------- Portfolio construction & Optimisation------------------------ #Assets: LUTAX,

Am I missing a Package? I'm not sure why is won't read the functions. Any help is much appreciated. > PData = Data[,3:10] > Spec = portfolioSpec() Error: could not find function "portfolioSpec" > setTargetReturn(Spec) = mean(colMeans(PData)) Error in setTargetReturn(Spec) = mean(colMeans(PData)) : object 'Spec' not found > Constraints =

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% (i.e. no leverage) 2. What I

Hello everyone, I have been spending many hours on a seemingly simple portfolio optimization problem using the package fPortfolio. My optimization problem is slightly different than a standard one such that I have a known set of asset returns. My problem is how to collect this information into my functions and pass them onto the optimization function. I have written my own covariance estimation

Hola muchachos, Espero que estén muy bien. Estoy trabajando con unos arreglos y encontré un comportamiento que no conocía. Me pregunto si es algo de esperar. Es lo siguiente. Supongamos el siguiente arreglo: arreglo <- array(runif(10*2*2), dim=c(10, 2, 2)) # dim: 10x2x2 y que sobre él selecciono las primeras 5 filas (o las primero 5 líneas de la primera dimensión, no sé): arreglo[1:5, , ]

Buenas tardes amigos, De nuevo por aqui con un incoveniente, tengo el siguiente arreglo: > MuestraS [1] 1 0 0 0 1 0 1 1 1 1 1 0 Deseo realizar todas las permutaciones posibles para luego tomar una muestra aleatoria pequeña, esto lo debo hacer varias veces incrementando el largo del arreglo "MuestraS". El inconveniente esta en que al hacer las permutaciones con este arreglo de 12

Hello, I hesitate to call this a bug, because I could have forgotten something important, but the MarkowitzPortfolio example in fPortfolio does not work for me. Here's my code: > library(fPortfolio) > >xmpPortfolio("\nStart: Load monthly data set of returns > ") > data(berndtInvest) > # Exclude Date, Market and Interest Rate columns from data

Hello. I am trying to use the portfolio backtesting function in fPortfolio package, but I don't now why in my version of fPortfolio I don't have either the portfolioBactest nor the portfolioBacktesting functions. Does anybody knows what might be going on? thank you Felipe Parra [[alternative HTML version deleted]]

Hello, I would like to do a portfolio optimization in R and I tried to use the function in "fPortfolio", but it appears there does not exist such function. Could anyone give me some advice? Many thanks -- View this message in context: http://www.nabble.com/fPortfolio-Package-tf4492927.html#a12813809 Sent from the R help mailing list archive at Nabble.com.

Hi - First posting here. I am using fPortfolio to try and optimize a simple portfolio consisting of 5 daily return series. 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"),

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, :

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 (workingdays) and want to compute the global minimum variance

I'm trying to find 50 portfolios on the efficient frontier using the Black-Litterman model but have not found a suitable method for doing so. I tried using the "portfoliosFrontier" function given in the package fPortfolio using the "optimalPortfolios.fPort" function on package "BLCOP" but does not provide satisfactory results -- View this message in context:

Hola, no encuentro el momento en el que se relacionan los inventores, es decir, lo que relaciona a dos o más inventores es la patente. Primero, ¿cómo debo ordenar los datos? Tengo 1813 número de patentes, es decir, la matriz es de dimension 1813 x 1813. Tengo varios órdenes en los datos, por ejemplo, el primer arreglo es por patente, en las columnas tengo ?no. de patente?, ?inventor 1?,

¿Porqué cuando cerramos una sesión de R-Commander no podemos volver a abrirlo desde la consola del R (por ejemplo con library(Rcmdr) ) salvo que cerremos la sesión de R y volvamos otra vez a entrar? ¿Tiene esto algún arreglo sencillo? Trabajo desde Windows 7. Saludos, H. Gómez [[alternative HTML version deleted]]

Hola a todos Estoy trabajando con el package agricolae para realizar pruebas de medias y obtengo un error que no entiendo al trabajar las interacciones. Os explico: Poseo un Diseño Completamente al Azar para el arreglo de tratamientos factorial de la forma 2*2*4. El modelo consta de 6228 observaciones, el esquema para el anova es: A= 2 niveles={2,5} B= 4 niveles={F1,F2,F3,F4} C= 2

Estimados Microsoft R Open 3.3.1 me está dando problemas, por ejemplo rbind. Los resultados son extraños, por ejemplo muchas columnas cuándo debería ser una sola sonde tomo solamente la primer columna de varios data.frames, como un arreglo de n x n donde los n son números ?grandes?, cuándo debería ser solo 1 x n . ¿Alguno tiene problemas? Está imposible para trabajar. Javier Rubén Marcuzzi

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