Hello
I am reading Diethelm Würtz's Portfolio Optimization with R book. I encountered
a problem at "17.2 How to Compute a Minimum Risk Efficient Portfolio" part. I
entered the commands:
> minriskSpec <- portfolioSpec()> targetReturn <-
> getTargetReturn(ewPortfolio@portfolio)["mean"]> setTargetReturn(minriskSpec)
> <- targetReturn
> minriskPortfolio <- efficientPortfolio(data = lppData,spec =
> minriskSpec,constraints = "LongOnly")> print(minriskPortfolio)
But I got the following output:
Title: MV Efficient Portfolio Estimator: covEstimator Solver:
solveRquadprog Optimize: minRisk Constraints: LongOnly
Portfolio Weights:SBI SPI SII LMI MPI ALT 0 0 0 0 0 0
Covariance Risk Budgets:SBI SPI SII LMI MPI ALT
Target Returns and Risks:mean Cov CVaR VaR 0 0 0 0
Description: Sun Aug 27 16:00:42 2017 by user: win7120
As you notice R does not compute Portfolio Weights, Target Returns and Risks...
etc.
I also tried to run the code at "17.3 How to Compute the Global Minimum
Variance Portfolio" which is:
> globminSpec <- portfolioSpec()> globminPortfolio <- minvariancePortfolio(data
> = lppData,spec = globminSpec,constraints = "LongOnly")>
> print(globminPortfolio)
But I got the following output:
Title:
MV Minimum Variance Portfolio
Estimator: covEstimator
Solver: solveRquadprog
Optimize: minRisk
Constraints: LongOnly
Portfolio Weights:
SBI SPI SII LMI MPI ALT
0 0 0 0 0 0
Covariance Risk Budgets:
SBI SPI SII LMI MPI ALT
Target Returns and Risks:
mean Cov CVaR VaR
0 0 0 0
Description:
Sun Aug 27 16:12:21 2017 by user: win7120
As you see R does not make computations again.
I also tried to run the code at "17.4 How to Compute the Tangency Portfolio"
which is:
> tgSpec <- portfolioSpec()> setRiskFreeRate(tgSpec) <- 0
> tgPortfolio <- tangencyPortfolio(data = lppData,spec = tgSpec,constraints =
> "LongOnly")
This time I got the following error:
Error in if (STATUS != 0) { : argument is of length zero
What may be the problem? Could you help?
Thanks
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