[R] fPortfolio constraints, maxsumW

John P. Burkett burkett at uri.edu
Tue Aug 12 16:46:28 CEST 2008

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 message are pasted below. 
Suggestions about how to correct my coding would be most welcome.

*************Code beings here************************
Data = as.timeSeries(Jdata)
Spec = portfolioSpec()
setNFrontierPoints(Spec) = 150
Constraint = c("minW[1:nAssets]=0", "maxsumW[1:2Assets]=13.63")
frontier = portfolioFrontier(Data, Spec, Constraint)
**************Error message begins here***************
Error in parse(text = constraints[i]) :
   unexpected symbol in "maxsumW[1:2Assets"
**************Error message ends here******************


John P. Burkett
Department of Environmental and Natural Resource Economics
and Department of Economics
University of Rhode Island
Kingston, RI 02881-0808

phone (401) 874-9195

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