[R-SIG-Finance] Parma / MAxReward Portfolio

Kads Bennurkar blinkychinky at yahoo.com
Wed Jul 8 22:47:29 CEST 2015

I'm trying to generate an efficient frontier for a MaxReward portfolio and get the weights of the portfolios lying on the efficient frontier. 
So far I have been able to get a maxReward portfolio using Parma package. However, I keep getting error while trying to generate  an Efficient Frontier. 
codes:data(etfdata)R = ROC(etfdata, na.pad=FALSE)riskB = (15^2)/12spec   <- parmaspec(S = as.matrix(cov(R1)), riskB=riskB,risk="EV",riskType="maxreward", LB = rep(0.05,15),                    UB = rep(0.35,15), budget=1, forecast=as.numeric(colMeans(R1)))port <- parmasolve(spec, solver="SOCP"); port   

Issue: parmafrontier(spec, n.points = 100, solver="SOCP") 


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