[R-SIG-Finance] portfolioFrontier/Spec: targetReturn

[Josh Ulrich]

List,

I am trying to help a colleague with a question, but I am - by no
means - an expert in this area.  The output of the portfolioFrontier
function in the code below doesn't change for different values of
targetReturn and riskFreeRate (in portfolioSpec).  I would appreciate
if someone could point me to information on why this should be
expected or not.

Best,
Josh

require(TTR)
require(zoo)
suppressMessages(require(fPortfolio))

syms <- c('ABNDX','CAIBX','CWBFX','CWGIX','RYEOX','RYMTX','DBV')
X <- getYahooData(syms[1], start=20070601, quiet=TRUE)
X <- zoo( X$Close, X$Date )
for(i in 2:NROW(syms)) {
 print(syms[i])
 x <- getYahooData(syms[i], start=20070601, quiet=TRUE)
 X <- cbind( X, zoo( x$Close, x$Date ) )
}
colnames(X) <- syms
R <- as.timeSeries(returns(X, percentage = TRUE))

Spec = portfolioSpec(model = list(type = c("MV", "CVaR"),
  estimator = c("mean", "cov"), tailRisk = list(), params = list()),
  portfolio = list(weights = NULL, targetReturn = NULL,
    targetRisk = 4, targetAlpha = 0.05, riskFreeRate = NULL,
    nFrontierPoints = 50),
  solver = list(solver = c("quadprog", "Rdonlp2", "lpSolve"), trace = FALSE))
Spec
frontier <- portfolioFrontier( R, Spec, c("minW[1:nAssets]=0"))
weightsSlider(frontier)


> sessionInfo()
R version 2.7.0 (2008-04-22)
i386-pc-mingw32

locale:
LC_COLLATE=English_United States.1252;LC_CTYPE=English_United
States.1252;LC_MONETARY=English_United
States.1252;LC_NUMERIC=C;LC_TIME=English_United States.1252

attached base packages:
[1] tcltk     stats     graphics  grDevices utils     datasets  methods
[8] base

other attached packages:
 [1] fPortfolio_260.72  fAssets_260.72     fRegression_260.72 fMultivar_260.72
 [5] sn_0.4-4           mnormt_1.2-1       fTrading_260.72    polspline_1.0.15
 [9] nnet_7.2-42        mgcv_1.3-31        fBasics_260.72     fImport_260.72
[13] fSeries_260.72     fCalendar_262.73   fEcofin_260.72     fUtilities_260.72
[17] spatial_7.2-42     RUnit_0.4.17       robustbase_0.2-8   MASS_7.2-42
[21] lpSolve_5.6.2      quadprog_1.4-11    zoo_1.5-3          TTR_0.14-0

loaded via a namespace (and not attached):
Error in x[["Version"]] : subscript out of bounds
In addition: Warning message:
In FUN(c("grid", "lattice")[[2L]], ...) :
  DESCRIPTION file of package 'lattice' is missing or broken


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