Thank you, Brian and Ross.
That was very helpful.
DEoptim and random solvers gave good results. I tested the same using
GenSA, which performed worse than pso.
Thank you again! :)
On Tue, Sep 20, 2016 at 8:53 PM, Brian G. Peterson
wrote:
> The attached .R file should demonstrate what Ross was
The attached .R file should demonstrate what Ross was talking about.
The cardinality constraint is directly supported by the stochastic
global solvers 'DEoptim' and 'random', as described in the
documentation.
It can also be formulated as a mixed integer linear problem for certain
objective fun
Hi Abhay,
The cardinality constraint is not directly support by the pso solver so we
have to implement that constraint as a penalized objective. Also note that
your box constraint is greater than 0, so the box constraint and position
limit constraint are fighting each other (i.e your problem is
ov
I've never been able to get portfolioanalytics to work for me. It looks like a
nice little addition to the R arsenal but we just weren't meant to work
together. I figured what the heck I'll try this code and I got the same error
message I usually get:
Error in optimize.portfolio(R = returns,
Thanks, Brian!
I implemented the following:
--
data("edhec")
returns <- edhec[,1:12]
colnames(returns) <-
c("CA","CTAG","DS","EM","EN","ED","FIA","GMLS","MA","RV","SS","FF")
print(head(returns,5))
fund.name
On Mon, 2016-09-19 at 20:22 +0530, Abhay Bhadani wrote:
> I just started exploring PortfolioAnalytics package.
>
> Similar to setting up custom objective functions, is there a way to set up
> custom constraints too?
>
> I would like to know how to set up cardinality constraint (i.e., limiting
> n