[R-SIG-Finance] [R-sig-finance] Example codes fPortfolio Package ?

R@Nabble vlanschot at yahoo.com
Thu May 15 11:59:46 CEST 2008


I was wondering whether there are more code-examples available for the above
package. In particular, I'm interested in applications whereby:

1) One can define per asset the minW, maxW constraints. 
(I tried ConstrLO = c("minW[1]=10","minW[2]=10","maxW[3]=15"), but I guess
my interpretation of "vector of character strings" as described in the
manual for the input here is wrong).
2) In addition to 1, add sector constraints (i.e. does one simply add it,
like ConstrLO = c("minW[1]=10","minW[2]=10","maxW[3]=15", "minsumW[1:2]=50")
3) One can add the benchmark portfolio within the analysis, in particular as
a "dot" within the efficient frontier graph.
4) Assuming leverage, how to show a move along the cap.mkt line?

Any help/suggestions much appreciated.


R at N
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