[R-SIG-Finance] [R-sig-finance] Flexible inputs fPortfolio possible?
Yohan Chalabi
chalabi at phys.ethz.ch
Thu May 29 11:02:58 CEST 2008
>>>> "R" == "R at Nabble" <vlanschot at yahoo.com>
>>>> on Thu, 29 May 2008 00:20:18 -0700 (PDT)
R> Following your advice, I did the following:
R>
R> PropEstimates<-function(x,Estmu=colMeans(x),Covar=cov(x))
R> list(mu=Estmu,
R> Sigma=Covar)
R> ####### Efficient Frontier
R> Data <- as.timeSeries(MatR)
R> NAss=ncol(Data)
R> NAss
R> SpecDef <- portfolioSpec()
R> Rfree = 0.04/12
R> setRiskFreeRate(SpecDef)<- Rfree
R> TotUni<-PropEstimates(Data,colMeans(Data),cov(Data))
R> TotUni
R> This code results in the following (what looks like correct)
R> results:
how do you expect this code to work?? I did not recommend you to do
that!
you should specify the name of your estimator function with
"setEstimator<-".
this means,
setEstimator(SpecDef) <- "PropEstimates"
in your example.
Please use the code I already posted with the
*dev-version* of fPortfolio available at *R-forge*.
Yohan
--
PhD student
Swiss Federal Institute of Technology
Zurich
www.ethz.ch
www.rmetrics.org
NOTE:
Rmetrics Workshop: http://www.rmetrics.org/meielisalp.htm
June 29th - July 3rd Meielisalp, Lake Thune, Switzerland
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