[R-SIG-Finance] [R-sig-finance] error in maxreturnPortfolio

patzoul patzoul at free.fr
Sun Nov 16 17:47:56 CET 2008


I am running the following script but get an error saying that the Target
Return is missing eventhough it is a n input that I dont need.

Data = as.timeSeries(data(smallcap.ts)) 
Data = Data[, c("BKE", "GG", "GYMB", "KRON")] 
Spec = portfolioSpec() 
#setTargetReturn(Spec) = mean(colMeans(Data)) 
setOptimize(Spec) = "maxReturn"
setTargetRisk(Spec) = 0.15
print(Spec)
mv <- maxreturnPortfolio(Data, Spec, Constraints) 
print(mv)


What  do I need to do to use maxreturnPortfolio?



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