similar to: portfolio, portfolio.optim function not found

Full_Name: Ansgar Steland Version: 0.90.0 OS: Linux 6.1 FreeBSD 3.2 Submission from: (NULL) (62.104.196.10) Dear R Team, Yesterday I downloaded R 0.90.0 and the current versions of some packages (tseries, quadprog,...). I had no problems to build the program using FreeBSD 3.2 and SuSe Linux 6.1. I also re-build all packages required by tseries. I checked out portfolio.optim (package:

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

Hi, I'm an R newbie and I've been struggling with a optimization problem for the past couple of days now. Here's the problem - I have a matrix of expected payouts from different stock option strategies. Each column in my matrix represents a different stock and each row represents the return to the strategy given a certain market move. So the rows are not a time series of percentage

At the risk of ridicule for my deficient linear algebra skills, I ask for help using the solve.QP function to do portfolio optimization. I am trying to following a textbook example and need help converting the problem into the format required by solve.QP. Below is my sample code if anyone is willing to go through it. This problem will not solve because it is not set up properly. I hope I

Looking for the DCT function, but don't see it in the signal pkg. http://rss.acs.unt.edu/Rdoc/library/signal/html/signal.package.html http://rss.acs.unt.edu/Rdoc/library/signal/html/00Index.html As I understand it, the 'signal' functions are ports of the corresponding matlab/octave code, where the DCT exists. Did I miss it (different name?) or is someone working on a port for

Hello everybody, I'm a beginner in R, and I'm currently working on Tseries (analysis of a portfolio) I imported the data like this (library tseries) : X<-read.ts("X.dat", start=c(1995,1), frequency=261, header=T, sep=";") There is a header which contains the names of each column (codes of shares) I'd like to know if it is possible to get the names of the

Hi, I need some help with Portfolio Optimization problem. I am trying to find the minimum variance portfolio subjected to constraints on weights like /x1< w1 <x2 x3< w2 <x4</i> I need help with solving for the minimum variance portfolio as solve.QP doesn't allow me to specify the lower boundaries. Thanks Mahesh -- View this message in context:

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

this is the problem: load this R data frame over the internet and save it to your hard drive. http://rss.acs.unt.edu/Rdoc/library/twang/data/raceproling.RData please show how to save a dataset of males only (the variable male=1) to a new dataframe. Then do the same thing for females (male=0). Then show how to recombine the two datasets to belike the original one except that the female

How to use R to solve the optimisaton problem Minimize: ?*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position ?*w^T*omega*w+mu^T*w-c^T(w-w0) for w<w0 short position W: is the update weight of portfolio Wo is the initial weight of portfolio Omega is the variance covariance matrix mu is the vector of return rate of stocks in the portfolio C is the vector coefficient of transaction cost

Dear friends. I just downloaded tseries dated 27.10.99 (from Aalborg, Denmark) and it seems it lacked something, library ts was not available ? What to do ? > library(tseries) Loading required package: ts Warning: There is no package called `ts' > > Best wishes Troels Ring, M.D Department of Nephrology Aalborg, Denmark tring at mail1.stofanet.dk

Hi all, Does anyone know what happened to the dna library or the dotmatrix function? For the life of me, I can't find it anywhere with the exception of this reference: http://rss.acs.unt.edu/Rdoc/library/dna/html/dotmatrix.html Thanks! Jeff. http://www.nd.edu/~jspies/ [[alternative HTML version deleted]]

Hello All: In the package "tseries" I observed a dependency with pacakge "mva". But, I can't find this package on CRAN. Is this package actually required and if so, where can I locate it? ANDREW P.S. I am using R 1.2.0 on linux mandrake 7.1 platform. P.P.S. the info on tseries follows from CRAn below: --------------------------------------------------------------------

Dear R helpers I have following data stocks <- c("ABC", "DEF", "GHI", "JKL") prices_df <- data.frame(ABC = c(17,24,15,22,16,22,17,22,15,19),                                          DEF = c(22,28,20,20,28,26,29,18,24,21),                                           GHI = c(32,27,32,36,37,37,34,23,25,32),                                          

Fritz just put the first version of a new time series package to the contrib section at CRAN. The package is called "tseries.tgz" and provides a library for time series analysis. It contains acf Autocorrelation Function adf.test Augmented Dickey-Fuller Test amif Auto Mutual Information Function bds.test BDS Test

Fritz just put the first version of a new time series package to the contrib section at CRAN. The package is called "tseries.tgz" and provides a library for time series analysis. It contains acf Autocorrelation Function adf.test Augmented Dickey-Fuller Test amif Auto Mutual Information Function bds.test BDS Test

Hi, I'm new to R. I'm trying to do some extreme value theory analysis, looking at the Mean Excess Plot of a series. These are the commands I type to get the plot: x=read.table("data.txt",header=T) goa=(x[,3]) meplot(goa) I can see the plot, but I would like to see the values of the x and y axis. According to this page

I am new to R and I'd like to use the randomForest package for my thesis (identifying important variables for more detailed analysis with other software). I have found extremely well written and helpful information on the usage of R. Unfortunately it seems to be very difficult to find similarly detailed tutorials for randomForest, and I just can't get it work with the information on

Dear all, I am trying to draw a weighted cumulative distribution (as defined here http://rss.acs.unt.edu/Rdoc/library/spatstat/html/ewcdf.html) with ggplot2 however the syntax temp<-qplot(X,weight=weight,data=data,stat = "ecdf", geom = "step",colour=factor(year)) seems not to produce exactly the right figure (the values seems higher at some points)... I am wrong in the

Hi, I am searching for a command line tool to extract files from a pdf portfolio? Are there any capabilities to do this? Thanks in advance! Kind regards, Nicole