[R-SIG-Finance] R-SIG-Finance Digest, Vol 60, Issue 9

Sat May 9 21:18:13 CEST 2009

Dee
Sent from my BlackBerry device on the Rogers Wireless Network

-----Original Message-----
From: r-sig-finance-request at stat.math.ethz.ch

Date: Sat, 09 May 2009 12:00:01 
To: <r-sig-finance at stat.math.ethz.ch>
Subject: R-SIG-Finance Digest, Vol 60, Issue 9

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Today's Topics:

   1. maxratioPortfolio (Michael Schulman)
   2. Quantmod getFinancials (Francisco Javier Perez Caballero)
   3. Re: Quantmod getFinancials (Joshua Ulrich)

----------------------------------------------------------------------

Message: 1
Date: Fri, 8 May 2009 15:48:36 +0000
From: Michael Schulman <mschulman at lightboxcap.com>
Subject: [R-SIG-Finance] maxratioPortfolio
To: "R-SIG-Finance at stat.math.ethz.ch"
	<R-SIG-Finance at stat.math.ethz.ch>
Message-ID:
	<E8AAF3671DF8FD48B55D9CC7A88B9516783B63F324 at MBX4.EXCHPROD.USA.NET>
Content-Type: text/plain

Hi,
  First wanted to thank everyone for a lot of very good hard work done on R and the subsequent packages.

  So I've been looking at the maxratioPortfolio code in fPortfolio.  One thing I notice is how the range is decided for the search.  It looks like the range is decided by passing "interval = range(getMu(Data))"  While this works well in a completely unrestrained situation it does not work when there are constraints.  To give an example.  I am trying to optimize a portfolio with 3 assets with the following constraints :

c("minW[1:nAssets] = -0.5", "maxW[1:nAssets] = 0.5", "eqsumW[1:nAssets] = 1e-7", "Partial")

In other words I want a dollar neutral portfolio with no weight greater or less than .5, -.5 respectively.  As a side note having to pass in 1e-7 is somewhat counterintuitive but I could not find another way as passing in 0, removed that constraint.

My mu and sigma are :

$mu
           S           VZ            T
 0.007075173 -0.001899547 -0.001357274

$Sigma
             S           VZ            T
S  0.008534089 0.0015257184 0.0015642080
VZ 0.001525718 0.0009147493 0.0008163796
T  0.001564208 0.0008163796 0.0009165100

Now just taking the min and max of my mu as the range is wrong.  They are not feasible portfolios as I can not allocate 100% to that.  In general in other optimizers I've seen the range is decided by solving for the max return given the constraints and no constraint on the variance.  Its usually a simple linear programming problem.

In my case the weights would be 0.5, -0.5, 0 to get me the maximum returns within my portfolio and within my constraints.

Sorry if anything above is incorrect, out of context, or just stupid.   I'm fairly new to R so I have no doubt I'm mistaken on many things.

Thanks... mike

DISCLAIMER: The information contained herein is to be co...{{dropped:13}}

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Message: 2
Date: Fri, 8 May 2009 14:28:28 -0400
From: Francisco Javier Perez Caballero <fjpcaballero at gmail.com>
Subject: [R-SIG-Finance] Quantmod getFinancials
To: <r-sig-finance at stat.math.ethz.ch>
Message-ID: <4a0479d0.09b6660a.53b9.ffffa8e3 at mx.google.com>
Content-Type: text/plain

I'm getting the following error (R 2.9.0, quantmod 0.3-7, Revision 461):

> AAPL <- getFinancials('AAPL')
Error in colnamesISCF[[2]] : subscript out of bounds

Any idea of what may be going on?

	[[alternative HTML version deleted]]

------------------------------

Message: 3
Date: Fri, 8 May 2009 15:49:16 -0500
From: Joshua Ulrich <josh.m.ulrich at gmail.com>
Subject: Re: [R-SIG-Finance] Quantmod getFinancials
To: Francisco Javier Perez Caballero <fjpcaballero at gmail.com>
Cc: r-sig-finance at stat.math.ethz.ch
Message-ID:
	<8cca69990905081349g472e6075la629a443b606cec0 at mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1

Google must have changed their pages again.

The function tries to grep for "Ending" in the HTML, but the word is
no longer in initial caps.  I have patched the r-forge version of
quantmod.  You can either download it, or change "Ending" to "ending"
in your source and rebuild.

HTH,
Josh
--
http://www.fosstrading.com

On Fri, May 8, 2009 at 1:28 PM, Francisco Javier Perez Caballero
<fjpcaballero at gmail.com> wrote:
> I'm getting the following error (R 2.9.0, quantmod 0.3-7, Revision 461):
>
>> AAPL <- getFinancials('AAPL')
> Error in colnamesISCF[[2]] : subscript out of bounds
>
> Any idea of what may be going on?
>
>
> ? ? ? ?[[alternative HTML version deleted]]
>
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