Displaying 20 results from an estimated 7000 matches similar to: "New version of 'portfolio' and new related packages"
2006 Jun 14
2
Package naming best practices
R-devel,
I'm in the process of choosing a name for a new package. I've already
decided that the name will have two parts, 'portfolio' and 'sim', but
can't decide between 'portfolioSim' and 'portfolio.sim'. Is there any
good reason to choose one over the other?
Thanks in advance,
Jeff
--
Jeff Enos
Kane Capital Management
jeff at kanecap.com
2006 Mar 06
0
New package 'portfolio'
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:
2006 Mar 06
0
New package 'portfolio'
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:
2011 Aug 31
0
QUANSTRAT: error with applySignal
hi everyone,
I want to backtest a simple strategy with RSI, im using "sigThreshold".
i took example from the http://blog.fosstrading.com/ site to understand how
quanstrat works.
but now, i have a problem with my code that i really don't understand, R
says me:
Error in match.names(column, colnames(data)) :
argument "column" is missing, with no default
please can
2006 Aug 28
1
Affiliation Reporting Standards. was: Re: reshape scaling with large numbers of times/rows
After a question on R, Prof Brian Ripley writes:
> However, you did not give your affiliation and I do not like giving free
> consultancy to undisclosed commercial organizations. Please in future use
> a proper signature block so that helpers are aware of your provenance.
I have one question and one comment.
Question: Are there specific standards about this for R mailing lists?
I
2006 Apr 25
1
Daily package check and --install=no
R-devel,
There has been some confusion on the MatchIt package mailing list on
the meaning of [--install=no] in the comment column of CRAN's
automated package check.
It's my understanding that, at the very least, a package marked like
this will not have its test cases run each night. Are there other
checks that are omitted?
How, if at all, are such install flags related to the
2006 Jun 08
1
NAs in unsplit factor
R-devel,
Below is a simple example calling split and unsplit on a numeric
vector of length 2 where 'f' is c(1,NA).
> unsplit(split(c(1,2), c(1,NA)), c(1,NA))
[1] 1 0
I noticed that the call to vector in unsplit gives us 0 as the 2nd
element of the result.
Is this the intended result, as opposed to NA?
Thanks for your help,
Jeff
--
Jeff Enos
Kane Capital Management
jeff at
2012 Jul 23
1
Help with Portfolio Optmization
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:
2002 Oct 18
0
Correct placement of .tex files in an R package
I have a package in which I would like to store a LaTeX .tex file. It is not
documentation on any particular function, but is related to the package. In
thought that I could just create a "doc" directory under the "inst"
subdirectory and place it there. I thought that things in "inst" were just
recursively copied when the package was installed.
Alas, when I check the
2011 Sep 15
1
portfolio, portfolio.optim function not found
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
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
2008 Sep 03
1
portfolio.optim and assets with weigth equals to zero...
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
2008 Jul 21
1
portfolio optimization problem - use R
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
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
2008 Jun 11
0
ETH Internship - Dynamic Portfolio Asset Allocation
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
1999 Nov 27
1
portfolio.optim.default, Packages tseries quadprog (PR#348)
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:
2003 May 18
0
POP Portfolio Optimizer
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
2012 Jan 13
1
Portfolio Optimization
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
2005 Sep 12
0
Applied Quantitative Analytics in Finance
2005 APPLIED QUANTITATIVE ANALYTICS IN FINANCE EVENT o OCTOBER 6, 2005 o
LONDON
Please join us at the Museum of London for a series of guru-led
presentations, networking, and demonstrations by academic and business
thought leaders in finance from Basel II Committee, Swiss Union of Raiffeisen
Banks, Swiss Federal Institute of Technology (ETH) in Zurich, UBS Warburg,
Ingenious Media Plc. and
2010 Mar 12
0
R/Finance 2010
R/Finance 2010: Applied Finance with R
April 16 & 17, Chicago, IL, US
www.RinFinance.com <http://www.RinFinance.com>
The second annual R/Finance conference for applied finance using R, the
premier free software system for statistical computation and graphics,
will be held this spring in Chicago, IL, USA on Friday April 16 and
Saturday April 17, 2010.
Registration is still open and