[R-SIG-Finance] [R] Problems plotting the efficient frontier with fPortfolio

[Lui ##]

Hello Felipe,

again, I am not a great expert with fPortfolio, but I think the
problem lies in your Dataset (not the numbers themselves, but the
structure of the dataset - eg. colnames, rownames,...) Did you try
building the efficient portfolio with a sample set of data that works
(e.g. with the sample data provided in the fPortfolio package)? I
would use print(Data[1:10,1:10]) to check what the data looks like in
both cases and then see whether the problem lies there. I would also
suggest just using parts of your data (maybe there are some missing
rows,... in between that cause trouble) - you can then locate the
problem more efficient.
Good luck!

Lui


On Tue, Jan 25, 2011 at 3:46 AM, Luis Felipe Parra
<felipe.parra at quantil.com.co> wrote:
> Hello, I have some simulations of financial data, I have 17 variables
> simulated 1000 times to three horizons. I am tring to plot the efficient
> frontier which I already obtained  using th fPortfolio package. I am using
> the following commands:
>
> Data=timeSeries(X[1,,])
> lppSpec <- portfolioSpec()
> longFrontier <- portfolioFrontier(Data, lppSpec)
> plot(longFrontier)
> Selección: 1
> Error en dimnames(x) <- dn :
>  la longitud de 'dimnames' [1] no es igual a la extensión del arreglo
>> tailoredFrontierPlot(object = longFrontier, mText = "MV Portfolio -
> LongOnlyConstraints",risk = "Cov")
> Error en dimnames(x) <- dn :
>  la longitud de 'dimnames' [1] no es igual a la extensión del arreglo
>
> and getting the error that appears. I also tried to do the same with the
> same data changing the solver to "solveRshortExact" and using the "Short"
> constraints and got the same error. Does anybody know what might be going
> on? Thank you
>
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