Re: [R-SIG-Finance] HELP: Problem with RBloomberg blp intraday data

Michael, This works in the current version of RBloomberg: # require(RBloomberg) conn - blpConnect() ticker - AGS BB Equity start.time - 2011-09-12 08:00:00.000 end.time - 2011-09-12 16:30:00.000 trades.1 - bar(conn, ticker, TRADE,

Re: [R-SIG-Finance] PerformanceAnalytics - Sharpes Style Analysis- but with intercept?

Thanks for the commented Function. So i can understand a little bit more about it. In fact I want to run following constrained Regression. R.f=w0 + w1*Rs_1+w2*Rs_2+w3*Rs_3 with the constraints: (1) w1+w2+w3 =1 (2) w1,w2,w30. So the Intercept(w0) is not included in the Constraints. In my case,

[R-SIG-Finance] Constrained Regression with Intercept in pcls

Dear all, I already asked about to run a constrained regression like y=b0 + b1X1+b2x2+b3x3, with constraints: b1+b2+b3=1 and b1,b2,b3=0. I thought it will run with style.QPfit with the performance Analytic packages. However the style.QPfit function does not estimate an intercept. As i really

Re: [R-SIG-Finance] Constrained Regression with Intercept in pcls

Hi Philipp, you should be able to solve this with package quadprog/solve.QP. require(quadprog) p - 3## number of regressors T - 100 ## number of obs X - array(rnorm(T*p), dim = c(T,p)) X - cbind(1,X) ## add a constant y - rnorm(T) ## variant 1 -- linear regression coef(lm(y ~ -1 + X))