[R-SIG-Finance] [R] Defining an objective function in fPortfolio

[Lui ##]

Hello Felipe,

I am not an expert in fPortfolio, so I can't tell you with 100%
certainty if its working or not. I tried for a while and didn't get it
running with the portfolio package. Maximizing the return is more
complex than the min Variance program...

I have two suggestions:

1. Create efficient frontier (with lets say 1000 or 2000 points) and
then determine a portfolio on that frontier which is closest to your
target sigma. The function could be

portspec <- portfolioSpec()
setNFrontierPoints (portspec) <- 2000
portfolio <- portfolioFrontier(DATA,portspec,"LongOnly")

Remember that you don't want to end up in the lower branch... :-)

2. Solve it with a heuristic (e.g. DEoptim - see my last thread). But
I just started using it.

Lui


On Mon, Jan 24, 2011 at 10:52 PM, Luis Felipe Parra
<felipe.parra at quantil.com.co> wrote:
> Hello I am using the fPortfolio package and I see there is the option in the
> model slot "objRisk" which permits the user to define its own objective
> function. I have the ebook Portfolio Optimization with Rmetrics and there it
> says examples on this option are on the advanced version of the book, which
> I looked on the Rmetrics webpage and apparently it doesn't exist yet. Does
> anybody have an example or knows where can I find an example of the usage of
> this option. How can I define my own objective function to optimize? Thank
> you
>
> Felipe Parra*
> *
>
>        [[alternative HTML version deleted]]
>
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