[R-SIG-Finance] [R-sig-finance] fPortfolio Constraints Question

Yohan Chalabi chalabi at phys.ethz.ch
Tue Jun 24 20:04:10 CEST 2008

>>>> "B" == berg <max.berger at edhec.com>
>>>> on Wed, 18 Jun 2008 15:16:44 -0700 (PDT)

   B> myEstimator <-
   B>     function(x, Spec = NULL, ...) list(
   B>     mu = c(asset1 = 0.1, asset2 = 0.08, asset3 = 0.08, asset4 = 0.045),
   B>     Sigma = cov(y))

I would say that your mu is not a good idea and that the optimization does
not converge to a solution.

try with mu = colMeans(x) and see if it works.

note you can use the R function "traceback()" and then play around in
debug() mode to find out where the problem is.


PhD student
Swiss Federal Institute of Technology


Rmetrics Workshop: http://www.rmetrics.org/meielisalp.htm
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