[R] fPortfolio constraints, maxsumW

[Yohan Chalabi]

>>>> "JPB" == "John P. Burkett" <burkett at uri.edu>
>>>> on Tue, 12 Aug 2008 10:46:28 -0400

   JPB> Running R version 2.6.1 under Gentoo Linux and using the fPortfolio 
   JPB> package, I am having trouble specifying a sector constraint. One of the 
   JPB> constraints to be imposed is that assets 1 and 2 together account for no 
   JPB> more than 13.63% of the portfolio.  My attempt at coding that 
   JPB> constraint, "maxsumW[1:2Assets]=13.63"  fails.  The relevant section of 
   JPB> my code file and the resulting error message are pasted below. 
   JPB> Suggestions about how to correct my coding would be most welcome.
   JPB> 
   JPB> *************Code beings here************************
   JPB> Data = as.timeSeries(Jdata)
   JPB> Spec = portfolioSpec()
   JPB> setNFrontierPoints(Spec) = 150
   JPB> Spec
   JPB> Constraint = c("minW[1:nAssets]=0", "maxsumW[1:2Assets]=13.63")
   JPB> frontier = portfolioFrontier(Data, Spec, Constraint)
   JPB> **************Error message begins here***************
   JPB> Error in parse(text = constraints[i]) :
   JPB>    unexpected symbol in "maxsumW[1:2Assets"
   JPB> **************Error message ends here******************
   JPB> 
   JPB> -John



Hi John,

you should use 0.1363 instead of 13.63...

hope this helps,
yohan

-- 
PhD student
Swiss Federal Institute of Technology
Zurich

www.ethz.ch