[R-SIG-Finance] fPortfolio Inputs as List - Error Msg

Bastian Offermann bastian2507hk at yahoo.co.uk
Wed Jan 14 03:28:17 CET 2009


I am trying to use flexible inputs for an unconstrained Markowitz 
optimization using the fPortfolio package.

The documentation says

*"a time series or a named list, containing either a series of returns 
or named
entries ’mu’ and ’Sigma’ being mean and covariance matrix." *

is required as inputs. However, when supplying a list containing mu and 
sigma I get the following error

*Error: class(data) == "timeSeries" is not TRUE

r.p <- 0.05
Spec <- portfolioSpec()
setType(Spec) <- "MV"
cons <- "Short"
setOptimize(Spec) <- "minRisk"
setTargetReturn(Spec) <- r.p/52
setNFrontierPoints(Spec) <- 10
setSolver(Spec) <- "solveRshortExact"

mu <- c(0.0002884615, 0.0007085510)
covar <- matrix(c(0.0002536010, 0.0001704248, 0.0001704248, 
0.0007122588), 2, 2)

Data1 <- list(mu, covar)

eff.front1 <- portfolioFrontier(data = Data1, spec = Spec, constraints = 

*Any input appreciated. Thanks in advance.



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