[R-SIG-Finance] [R-sig-finance] Example codes fPortfolio Package ?
vlanschot at yahoo.com
Thu May 15 15:10:53 CEST 2008
Thank you Diethelm. That did the trick (and kind of obvious, should have
tried myself), and I will have a look at those example files. Thanks for
creating this library which I'm currently learning and intend to use a lot.
R at N
Diethelm Wuertz wrote:
> R at Nabble wrote:
>> I was wondering whether there are more code-examples available for the
>> package. In particular, I'm interested in applications whereby:
>> 1) One can define per asset the minW, maxW constraints.
>> (I tried ConstrLO = c("minW=10","minW=10","maxW=15"), but I
>> 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=10","minW=10","maxW=15",
> Try just
> c("minW=0.10","minW=0.10","maxW=0.15") instead of
> I think this should be made more explicit in the help file.
> Have you looked in the unit test directory where you find douzans of
> unit testing examples.
>> 3) One can add the benchmark portfolio within the analysis, in particular
>> 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
> PD Dr. Diethelm Wuertz
> Institute for Theoretical Physics
> Swiss Federal Institute of Technology
> Rmetrics Workshop: http://www.rmetrics.org/meielisalp.htm
> June 29th - July 3rd Meielisalp, Lake Thune, Switzerland
> R-SIG-Finance at stat.math.ethz.ch mailing list
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