[R-SIG-Finance] error message from portfolioFrontier function

[alex.rudnev at gmail.com]

I had several variations of the same problem and I have data set and code to reproduce it on R2.11 (REvolution 4.0). It happened on R2.12 as well, but on different data sets, and I never got the it captured due to lack of time.
It boils down to problem in Fortran code that is part of solve.QP, which in turn is called from .rquadprog. And the optimization problem is almost certainly solvable for that data set / constraints...

Error from the solver can be better handled in Rmetrics code, but it seems that root of it is in quadprog code. Should I send it to maintainers of both packages just in case (I guess I'll do it anyway), or simply post it here?
 
Regards,
Alex

Sent via BlackBerry by AT&T

-----Original Message-----
From: "Brian G. Peterson" <brian at braverock.com>
Sender: r-sig-finance-bounces at r-project.org
Date: Fri, 24 Dec 2010 06:41:03 
To: <r-sig-finance at r-project.org>
Subject: Re: [R-SIG-Finance] error message from portfolioFrontier function

On 12/24/2010 02:16 AM, thomas.chan.sf at boci-pru.com.hk wrote:
>
> Hello,
>
> I have tried to use the function portfolioFrontier a few times and always
> get this error message:
>
> Execution stopped:
>    The minimum risk portfolio could not be computed.
> Possible Reason:
>    Your portfolio constraints may be too restrictive.
> Status Information:
>    status=1 from solver solveRquadprog.
> Error:
>    returned from Rmetrics
>
> Could anyone give me a hint? Thanks.

The error message *is* a hint, and likely describes the problem you are 
having precisely.

You need to construct a minimal reproducible example, per the posting 
guide, so that others may reproduce your problem, and confirm whether 
the problem is in your constraints, as indicated by the error, or in the 
code.

Regards,

   - Brian

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

_______________________________________________
R-SIG-Finance at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.