similar to: using portfolioMarkowitz

Hi, I just installed R on a new windows 7 machine and am having a probelm with the default libraries. The default libraries are not what I want them to be so when i say install.packages("XXX") the packages don't install where I want them to. Ideally everything would install to the same location as the base packages. When I look at my library paths I get the following. >

Hi, As will soon be very clear I'm an R novice. I'm trying to better understand the ks.test function in the stats package. When I look at the source code there are several calls to C functions (for example .C("pkstwo", is.integer(length(x[IND])), p=as.double(x[IND]), as.double(tol), PACKAGE = "stats)$P). I'm wondering if there is a way to view the source code for the

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

Hi, I'm pretty new to R and VERY new to RExcel. I've just finished setting it up and I'm having some problems. My first Issue is that if I attempt to use a function like RApply("sum", A1:A4) from within excel it gives me an error saying "There seems to be no R process connected to the server" I can then see an R Console open up and I get a message saying R

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

can somebody point me in the direction of some sample c/c++ code for encoding stereo product esp wideband mode thanks in anticipation Andy Basford The information contained in this message (and any attachments) may be confidential and is intended for the sole use of the named addressee. Access, copying, alteration or re-use of the e-mail by anyone other than the intended recipient is

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

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.

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",

When I said I'd pay my £1 worth, I didn't mean it literally. Anyway, the point about larger companies is a good one. Earliers posts talk about if games companies would be willing to give funds to develop ogg, if these donations are tax deductable surely they are much more likely to give. The question is how legal is this? If they are getting direct benift from ogg, can that make tax

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 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

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

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

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"),