[R-SIG-Finance] fPortfolioSolver Issues

Brian G. Peterson brian at braverock.com
Thu Jan 14 13:29:38 CET 2010


Todd Chadwick wrote:
> I'm wondering if any of you are using any of the solvers in the
> fPortfolioSolver by the RMetrics chaps?  I've been trying to install the
> package via RCMD from the source on my Windows XP machine (running R 2.10.1)
> and it gets hung up during the process.  I am really interested in using the
> second-order cone programming optimizer wrapper they provide (working on
> getting a max return optimized portfolio for given target risk).
>   
The fPortfolioSolver examples for

solveRsocp

and

solveRqpqc


works for me on linux.  I don't have time to test on Windows, as I don't 
use that environment for R.

I am wondering why you are trying to install from source on Windows, 
rather than using the binary zip from R-Forge available here:

http://r-forge.r-project.org/R/?group_id=156

> I feel sure there are several ways to do things.  My apologies for burdening
> the list with my rusty operations research skills.   Any help is certainly
> appreciated, and let me know if more info is needed about my install issues.
> If Dr. Wuertz or any of the RMetrics team can chime in, even better.  
>   
If the optimization problem you are hoping to solve is amenable to a 
conical solver, then fPortfolioSolver will be the fastest at finding a 
solution. 

If, however, you have complex constraints that are not amenable to the 
quadratic, linear, and conical constraint and objective structure in the 
RMetrics packages, the PortfolioAnalytics package may be able to let you 
construct a more arbitrary set of constraints and objectives. 

When I get some time, I hope to make the specifications interoperable, 
as well.

Regards,

    - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock



More information about the R-SIG-Finance mailing list