[R-SIG-Finance] [R-sig-finance] fPortfolio not loading Rsymphony package

[Jonathan Ling]

Ah! Sorry, I've done a check and apparently Rsymphony was removed from
fPortfolio a while back. The current solver used for CVaR is "solveRglpk". 

Apologies for that!


Jonathan Ling wrote:
> 
> I recently upgraded my version of R to 2.10.0 and installed the fPortfolio
> package.
> 
> I noticed that once I did that, my codes ran into errors whenever I tried
> to run CVaR portfolio optimisation. I then noticed that fPortfolio wasn't
> loading the Rsymphony package... is anyone having the same problem?
> 
> I've tried loading the package manually but the commands for how
> fPortfolio runs solveRsymphony through Rsymphony is probably different
> (i.e. the constraints).
> 

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