[R-SIG-Finance] Problem with solver solveRquadprog in fPortfolio

[Peter Keller]

Hi there,

I have a serious problem with solver solveRquadprog in fPortfolio.
Unfortunately, solveRquadprog is the standard solver in fPortfolio and
pretty essential.

How to replicate the problem on my PC:

library(fPortfolio)
library(fEcofin)

library(Rsymphony)
library(lpSolveAPI)

djiData = as.timeSeries(DowJones30)
djiData.ret <- 100 * returns(djiData)
frontier <- portfolioFrontier(djiData.ret)

I get then the error message:

Error in .Fortran("qpgen2", as.double(Dmat), dvec = as.double(dvec),
as.integer(n),  :
Incorrect number of arguments (16), expecting 17 for qpgen2

I’ve installed R version 2.10.1 on Windows 7 (32 bit) with updated CTV
Finance.

Interestingly, this problem only appeared after a while. Initially,
everything worked fine, but suddenly, without doing something special,
this error appeared. I already completely uninstalled R, rebooted the PC
and re-installed R (including updated CTV Finance), but it did not help
at all.

I highly would appreciate any help. I already spent quite a lot of time
to find a solution, but there is not a lot of help available.

Best regards,

Peter Keller