similar to: fPortfolio constraints, maxsumW

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,

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

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 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

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

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,

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

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 =

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 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

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 - 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"),

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, :

I'm trying to get a reference to this object in C SWX.RET[1:6,c("SBI,"SPI","SII")] While i am able to access and use a plain SWX.RET object, I'm getting confused on how to create an object with the array subscripts like above. Here is what I tried to do. It doesn't work because "[" is obviously not an operation or function on SWX.RET. So how do I

Hi all, I have a problem with adding point and print to a print server. The server details are as follows: 700MHz Celeron + 384MB RAM Mandriva LE2005 (Mandrake 10.2) Samba 3.0.13-2mdk CUPS 1.1.23 cups drivers 10.2-0.11 gimpprint-cups 2-1.1.23-11 foomatic 3.0.2-1 The server is bound to an NT4 based domain (to be replaced with Linux/Samba in the summer) and winbind works fine with wbinfo -u and

Hi Joerg, On 12/12/2018 10:35, Joerg Roedel wrote: > Hi, > > to make progress on this, we should first agree on the protocol used > between guest and host. I have a few points to discuss on the protocol > first. > > On Tue, Dec 11, 2018 at 06:20:57PM +0000, Jean-Philippe Brucker wrote: >> [1] Virtio-iommu specification v0.9, sources and pdf >>????

Hi Joerg, On 12/12/2018 10:35, Joerg Roedel wrote: > Hi, > > to make progress on this, we should first agree on the protocol used > between guest and host. I have a few points to discuss on the protocol > first. > > On Tue, Dec 11, 2018 at 06:20:57PM +0000, Jean-Philippe Brucker wrote: >> [1] Virtio-iommu specification v0.9, sources and pdf >>????

On 19/12/2018 23:09, Michael S. Tsirkin wrote: > On Thu, Dec 13, 2018 at 12:50:29PM +0000, Jean-Philippe Brucker wrote: >>>> [3] git://linux-arm.org/linux-jpb.git virtio-iommu/v0.9.1 >>>> ???? git://linux-arm.org/kvmtool-jpb.git virtio-iommu/v0.9 >>> >>> Unfortunatly gitweb seems to be broken on linux-arm.org. What is missing >>> in this

Hi Michael, On 11/27/18 5:53 PM, Michael S. Tsirkin wrote: > On Thu, Nov 22, 2018 at 07:37:54PM +0000, Jean-Philippe Brucker wrote: >> Implement the virtio-iommu driver, following specification v0.9 [1]. >> >> Since v4 [2] I fixed the issues reported by Eric, and added Reviewed-by >> from Eric and Rob. Thanks! >> >> I changed the specification to fix one