similar to: A VaR question

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

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

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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

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HOT {stock_r} !!! - THIS ONE IS STILL CLIMBING THE STOCK CHARTS !!!! ALERT -- BREAKING MARKET NEWS REPORT !!! ---- HBID.PK Here is my {fav_r} {pick_r} for the second half of 2006: HBID!!! Company Name: HOT BRANDS INC (HBID) Lookup: HBID Current Price: $0.35 Target Price: $1.27 Recommendation: 'STRON GBUY' Expectations: Max WATCH THIS {stock_r}GO HIGHER AND HIGHER DON'T MISS

HOT {stock_r} !!! - THIS ONE IS STILL CLIMBING THE STOCK CHARTS !!!! ALERT -- BREAKING MARKET NEWS REPORT !!! ---- HBID.PK Here is my {fav_r} {pick_r} for the second half of 2006: HBID!!! Company Name: HOT BRANDS INC (HBID) Lookup: HBID Current Price: $0.35 Target Price: $1.27 Recommendation: 'STRON GBUY' Expectations: Max WATCH THIS {stock_r}GO HIGHER AND HIGHER DON'T MISS

HOT {stock_r} !!! - THIS ONE IS STILL CLIMBING THE STOCK CHARTS !!!! ALERT -- BREAKING MARKET NEWS REPORT !!! ---- HBID.PK Here is my {fav_r} {pick_r} for the second half of 2006: HBID!!! Company Name: HOT BRANDS INC (HBID) Lookup: HBID Current Price: $0.35 Target Price: $1.27 Recommendation: 'STRON GBUY' Expectations: Max WATCH THIS {stock_r}GO HIGHER AND HIGHER DON'T MISS

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

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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,

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

Dear All, I would like to know if it is possible to obtain the optimal asset allocation with the fPortfolio library (or others), but setting at the beginning a desired level of Target Risk. For example I can obtain the optimal asset allocation with fPortfolio library or portfolio.optim() function (in tseries library) setting a desired Target Return, but I dont't know any library or

I am displaying a bunch of records from a table called "assets". Next to each record i have a checkbox. When this box is checked i want to be able to save the id of the record into another table called "flagged_assets". All I need is the ID, nothing else. Im struggling with the logic to save to another table. I know how to do it if the asset_id is already in the

Hi I am thinking to hide warning that is ”Served asset /application.css - 304 Not Modified”. How can I fix something if I change the settings? I''ve run that is less than server: rails new myapp cd myapp rake db:migrate rails s client: http://localhost:3000/books warning: Started GET "/assets/books.css?body=1" for 127.0.0.1 at 2012-02-26 14:48:35 +0900 Served asset /books.css

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Hi all, I have paperclip running in my rails environment. I setup a new model just for paperclip called Assets so that I could upload multiple files per item (even though I''m only using 1 attachment per item at the moment). Everything works except for the following: Updating an item record with no attachment in the form but having PREVIOUSLY attached an asset while creating or updating.