[R-SIG-Finance] Finding the Feasible Region of a Generic Mean-Variance, Problem (Robert Harlow)

jkaprich at gmail.com jkaprich at gmail.com
Wed Dec 5 04:17:29 CET 2012

I am new to fPortfolioAdvanced. Whenever I attempt to implement feasibleHull or feasibleSet I see the following ...

Compute pairwise frontier for ...
Pair: 1 2

## omit other pair listings and finish with ... ###

Pair: 7 9

Error in approx(coord[,2], coord[,1], xout = returns) :
Need at least two non-NA values to interpolate

Was hoping someone could help me trouble-shoot this error.

(My apologies if this is an overly simplistic or inappropriate question for this group.)

Sent from my iPhone

On Dec 1, 2012, at 6:41 AM, Matt Considine <matt at considine.net> wrote:

> On 12/1/2012 6:00 AM, r-sig-finance-request at r-project.org wrote:
>> Finding the Feasible Region of a Generic    Mean-Variance
>>       Problem (Robert Harlow)
> What you are looking for is in the rmetrics/fPortfolioAdvanced package.  Look for the function called "feasibleSet".  A chart
> similar to what you want would be generated by this
>  >data = 100*LPP2005.RET[, 1:6]
>  >set = feasibleSet(data)
>  >attributes(set)
> $names
> [1] "data"          "weights"       "coords"        "positions" "targetReturns"
> [6] "targetRisks"   "hull"
> The weights of the portfolios in the set would be found in set$weights
> Two other functions in that package may also help ...
> Regards,
> Matt
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