[R-SIG-Finance] fPortfolio - SOCP not available?

[Diethelm Wuertz]

Heiko Mayer wrote:
> Hi,
>
> I have tried to use the maxreturnPortfolio Function in fPortfolio using the 
> Rsocp solver. According to the ebook "Portfolio Optimization with 
> R/Rmetrics", Rsocp is the preferred solver for that function. It appears to 
> me that this solver is not installed (yet?)
>
> require(fPortfolio)
> lppData=100*LPP2005.RET[,1:6] 
> maxRetSpec=portfolioSpec() 
> setTargetRisk(maxRetSpec)=0.07 
> setSolver(maxRetSpec)=solveRsocp 
> maxreturnPortfolio(data=lppData,  spec = maxRetSpec, constraints = 
> "LongOnly") 
>   
Try

require(fPortfolio)
require(fPortfolioSolver)

lppData=100*LPP2005.RET[,1:6] 
maxRetSpec=portfolioSpec() 
setTargetRisk(maxRetSpec)=0.07 
setSolver(maxRetSpec)="solveRsocp"
efficientPortfolio(data=lppData, spec=maxRetSpec, constraints="LongOnly") 

Title:
 MV Efficient Portfolio 
 Estimator:         covEstimator 
 Solver:            solveRsocp 
 Optimize:          maxReturn 
 Constraints:       LongOnly 

Portfolio Weights:
   SBI    SPI    SII    LMI    MPI    ALT 
0.0000 0.0002 0.0833 0.2626 0.0000 0.1104 

Covariance Risk Budgets:
   SBI    SPI    SII    LMI    MPI    ALT 
0.0000 0.0014 0.1539 0.1124 0.0000 0.7324 

Target Return and Risks:
  mean     mu    Cov  Sigma   CVaR    VaR 
0.0129 0.0129 0.0700 0.0700 0.1413 0.0978 

Description:
 Thu Apr 22 00:46:10 2010 by user: Rmetrics




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regards
Diethelm Wuertz
> Using the code above, I am getting an error that solveRsocp is not known. I 
> have searched RForge and found the Rsocp::socp code. However, I was not 
> able to find any examples or manual. Has anybody used Rsocp so far and 
> could give me hint how to use it?
>
> Thanks,
> Heiko  
>     
>   
> ------------------------------------------------------------------------
>
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