[R-SIG-Finance] [R-sig-finance] fPortfolio Constraints Question
max.berger at edhec.com
Thu Jun 19 00:16:44 CEST 2008
using fPortfolio (270.74) i did the following optimization, which worked
function(x, Spec = NULL, ...) list(
mu = c(asset1 = 0.1, asset2 = 0.08, asset3 = 0.08, asset4 = 0.045),
Sigma = cov(y))
Spec <- portfolioSpec()
setEstimator(Spec) <- "myEstimator"
Constraints = ("LongOnly")
frontier <- portfolioFrontier(y, Spec, Constraints)
Then I changed the Constraints to the following:
Constraints = c("minW=0.1",
With these constraints I received the following error message:
MV Portfolio Frontier
Error in round(getWeights(object), digits = 4) :
Non-numeric argument to mathematical function
I'd appreciate any help!
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