Displaying 17 results from an estimated 17 matches similar to: "fPortfolio prob: maxreturnPortfolio() returns Na/NaN/Inf error"
2009 Nov 11
1
Help with fPortfolio
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, :
2007 Apr 18
0
customize xen kernel with rpmbuild
Hello
I try to customize the name of my kernel.
I use the rpm source on the download page for the RHEL4.4 and I would like to differenciate the domO and the domU.
cd /usr/src/redhat
rpmbuild -ba SPEC/myspec.spec
In the spec file I tested to change ''%define kernelvariant xen'' to ''%define kernelvariant xenHAHAHA''
or other variables with no success
At the
2009 Sep 29
3
How do I access class slots from C?
Hi
I'm trying to implement something similar to the following R snippet using
C. I seem to have hit the wall on accessing class slots using C.
library(fPortfolio)
lppData <- 100 * LPP2005.RET[, 1:6]
ewSpec <- portfolioSpec()
nAssets <- ncol(lppData)
setWeights(ewSpec) <- rep(1/nAssets, times = nAssets)
ewPortfolio <- feasiblePortfolio(
data = lppData,
spec = ewSpec,
2011 Jul 10
1
Code Help
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 =
2009 Feb 05
2
Non-linear optimisation
Hi there,
I have a piece of Matlab code I use to optimise a trding strategy. If there
are any Matlab/R specialists out there, I would appreciate your help in
doing the exact same optimisation in R.
I suspect I would use nlm() in R but am not sure where to define my
constraints.
I have attached my Matlab code below for reference.
Many thanks.
Constraints
function [c,ceq]=TriskellConstraints(X)
2005 Jul 25
2
acts_as_tree and traversing parent/child relationships
I am working on an Rails application that uses a pretty complex
category structure through out the site. I have defined a table to
house all the info and a FK to reference parents within the table
CREATE TABLE categories (
id int(11) NOT NULL auto_increment,
name varchar(50) NOT NULL,
parent_id int(11) default NULL,
constraint fk_category_id foreign key (category_id) references
2013 Jan 06
0
fPortfolio-portfolio optimization
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
2011 Jan 25
0
Problems plotting the efficient frontier with fPortfolio
Hello, I have some simulations of financial data, I have 17 variables
simulated 1000 times to three horizons. I am tring to plot the efficient
frontier which I already obtained using th fPortfolio package. I am using
the following commands:
Data=timeSeries(X[1,,])
lppSpec <- portfolioSpec()
longFrontier <- portfolioFrontier(Data, lppSpec)
plot(longFrontier)
Selección: 1
Error en
2010 Feb 03
0
About the risk code in the fportfolio package
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",
2008 Aug 12
1
fPortfolio constraints, maxsumW
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
2011 Mar 28
1
portfolioBacktest in fPortfolio
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]]
2012 Sep 04
0
Calculate a minimum-variance portfolio with fPortfolio
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
2007 Sep 21
1
fPortfolio Package
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.
2005 Jun 01
1
Problem with fPortfolio
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
2012 Feb 15
2
Control number of assets in resulting portfolio with optimizations using package fPortfolio
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
2003 Oct 30
0
Questions on Backup Domain Control
John, and the Samba community,
Thanks for all your previous help.
We are writing to clarify a couple of questions that arose from our
reading of Samba 3 Official Documentation - Chapter 6: Backup
Domain Control (see the quoted paragraphs below).
Question 1 / Scenario 1:
Trust Domain Account Relationships
Houston:
PDC (functioning as centralized domain SAM)
|
Trust Domain Account Relationship
|
2009 Jul 23
1
[PATCH server] changes required for fedora rawhide inclusion.
Signed-off-by: Scott Seago <sseago at redhat.com>
---
AUTHORS | 17 ++++++
README | 10 +++
conf/ovirt-agent | 12 ++++
conf/ovirt-db-omatic | 12 ++++
conf/ovirt-host-browser | 12 ++++