similar to: fPortfolio Package

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 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

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

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

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

Hi I have some problems in defining new generic functions and classes. Just have a look at the following example: require(fPortfolio) setClass("PROBECLASS", representation( type="character" ) ) isGeneric("setType<-") #Returns TRUE #I would like to define a specific function for

Hi I have some problems in defining new generic functions and classes. Just have a look at the following example: require(fPortfolio) setClass("PROBECLASS", representation( type="character" ) ) isGeneric("setType<-") #Returns TRUE #I would like to define a specific function for

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, 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 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

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 - 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 think I have asked these questions earlier, but I been able to find answers from the documentation (which I found poorly written in several places). Will someone be kind enough to give me answers and enlighten me? (as in explain with CODE?) I want to embed R in my application and use the fPortfolio package for carrying out risk management computations. Right now I'm reading the Rmetrics

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, I am running R on Win 7. I got error for > listDescription(fPortfolio) Error: could not find function "listDescription" What do I need to install for solving this ? Any help will be appreciated. Thanks [[alternative HTML version deleted]]

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 I am unable to try out examples from the Rmetrics Ebook from the R command prompt. Below is an example of what happens: > Covariance<-cov(SWX.RET) Error in cov.timeSeries(SWX.RET) : no slot of name "Data" for this object of class "timeSeries" I have loaded Rmetrics and fPortfolio using the library function but still I get these errors. However, if I embed the R

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,

I'm trying to find 50 portfolios on the efficient frontier using the Black-Litterman model but have not found a suitable method for doing so. I tried using the "portfoliosFrontier" function given in the package fPortfolio using the "optimalPortfolios.fPort" function on package "BLCOP" but does not provide satisfactory results -- View this message in context:

Hi there! I'm stuck with a problem aligning financial timeseries and haven't found a cue how to fix it... When I run that simple script, everything goes well until the "align"-command: ------ rm(list=ls()) x <- yahooSeries("^GDAXI") head(x) xAligned <- align(x = x, by = "1d", method = "before", include.weekends = FALSE) ------ Here's