[R-SIG-Finance] portfolioFrontier nonsense

Bengoechea Bartolomé Enrique (SIES 73) enrique.bengoechea at credit-suisse.com
Mon Jun 15 09:32:54 CEST 2009


This is perfectly possible, depending on the data. For example, optimizing with 6-months data at the beginning of this year with indexes representing major world asset classes would give you an efficient frontier with negative slope (as return increases, risk decreases), as the only asset class with positive returns was money-market.



Message: 18
Date: Fri, 12 Jun 2009 18:14:27 -0400 (EDT)
From: <ssmith88 at umd.edu>
Subject: [R-SIG-Finance] portfolioFrontier nonsense
To: r-sig-finance at stat.math.ethz.ch
Message-ID: <20090612181427.AIY24688 at po7.mail.umd.edu>
Content-Type: text/plain; charset=us-ascii

I'm attempting a very basic optimization with fPortfolio using the default constraints.  Yet, the portfolio frontier that is generated is nonsense.  As the return increases, the risk decreases!  Any help would be greatly appreciated.  Below is my code:

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