similar to: Fund Manager (portfolio management software) seems to work

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

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

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

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

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 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),                                          

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:

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

Hi all. I've been lurking and posting on this list for a few years now. Prior to that, I managed the US Convertible Arbitrage portfolio for Amaranth Advisors. I recently agreed to manage a similar portfolio for a different hedge fund and am looking for someone to join me, essentially as the principal quant for a new San Francisco office. I've been very impressed with the posters on

A quantitative hedge fund within Lazard Asset Management in New York City is looking for a talented programmer/statistician to join a small team of researchers and portfolio managers. The job would intersect the fields of finance, applied statistics and computer science. The position involves applying intelligent design and development of r programs to accelerate the speed of research. The

i am working on the project to analyze hedge fund performance, i would appreciate that if you guys could spare some time helping me out with the R code. Thanks. The senario is: i applied BOXPLOT() to plot the performance of all hedge funds with 7 strategies. And right now in this boxplot I need to plot the points of 30 individual hedge funds from my portfolio. And I applied POINTS() and

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

We would like to announce the availability of the 'portfolio' package in R for analysing equity portfolios. Version 0.2-0 is now available on CRAN. To take a look, you can: > install.packages("portfolio") ... > vignette("portfolio") and play around. Those who would just like to check out an introduction can simply look at:

We would like to announce the availability of the 'portfolio' package in R for analysing equity portfolios. Version 0.2-0 is now available on CRAN. To take a look, you can: > install.packages("portfolio") ... > vignette("portfolio") and play around. Those who would just like to check out an introduction can simply look at:

A new version of package 'portfolio' is now available on CRAN. Also available are new packages 'backtest', for basic spread-based hypothesis testing, and 'portfolioSim', a general framework for portfolio simulation. Last March we wrote R-packages regarding our desire to build a suite of tools for portfolio analytics in R:

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

Burns Statistics has just released its POP Portfolio Optimizer, which is available for a license fee. This has an interface designed to run under either S-PLUS or R. In addition to portfolio selection and asset allocation, there is functionality to generate random portfolios, and to estimate statistical factor models. The website includes a new working paper on the best approach to using

Just got dovecot running inside MEPIS 3.3.2 SOHO (debian). I am impressed. It works really well and I am planning to move my mail away from my Win server and access the mail from dovecot using imap. I have copied some folders from my existing Outlook mail system into the imap mail server without any problems....so here is the dumb question: where are the mail files/folders stored on the MEPIS

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