similar to: Calculate a minimum-variance portfolio with fPortfolio

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,

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

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,

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 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

I was working with the rmetrics portfolioBacktesting function and dug into the code to try to find why my formula with 113 items, i.e. A1 thru A113, was being truncated and I only get 85 items, not 113. Is it due to a string length limitation in R or is it a bug in the strsplit or gsub functions, or in my string? I'd very much appreciate any suggestions ============Input script:

Hey, I have stacked a couple of garchFit objects in a list with names $fit1, $fit2, ..., $fiti assigning objects names using a loop, i.e. after running the loop modelStack = list($fit1, $fit2,...,$fiti). Thus the following apply; a = modelStack$fit2, then a is the second garchFit object of formal class 'fGarch' with 11 slots, @call, @formula... etc. I then want to extract information in

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

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

Dear all, version 1.2-2 of package NMOF is on CRAN now. NMOF stands for 'Numerical Methods and Optimization in Finance'. The package provides R code and datasets for the book with the same name, written by Manfred Gilli, Dietmar Maringer and Enrico Schumann, published by Elsevier/Academic Press in 2011. The package has finally crossed the 1.0 line: It is 10 years since the development

Hello, After installing and loading the package "portfolio", I tried to run the example code provided, and it would not run. this is the link: http://rss.acs.unt.edu/Rdoc/library/tseries/html/portfolio.optim.html this is the example code, as found at the link: x <- rnorm(1000) dim(x) <- c(500,2) res <- portfolio.optim(x) res$pw the error I get is: Error: could not find

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

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",

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 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, :

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"),

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

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

Summer Internship at ETH Zurich "Dynamic Portfolio Asset Allocation" We offer a 3-months internship starting midth July 2008. The topic addresses "Dynamic Portfolio Asset Allocation" including alternative instruments and hedge funds. The goal will be to compare the robust mean-variance, the lower partial moment and the conditional value-at-risk approaches for portfolio