[R-SIG-Finance] PortfolioAnalytics question re: showing results

Ross Bennett rossbennett34 at gmail.com
Mon Mar 21 14:51:49 CET 2016

On Mon, Mar 21, 2016 at 7:42 AM, <matt at considine.net> wrote:

> Hi again,
> In running the chart.RiskReward code, the "Optimal" portfolio is being
> plotted in the middle of the feasible portfolio set.  Why would that be
> happening?  Or is it because I am using customized risk/return calcs and
> the corresponding values for the optimal portfolio are not being scaled?
In general, the optimal portfolio is the portfolio with the minimum
objective function value. In this specific case, the objective functions in
the portfolio you defined have multipler=0 so the objective value for every
portfolio is 0 (note: this is the "out" column in the output of
extractStats). The first row in the extractStats output is the equal weight
portfolio which is being interpreted as the optimal portfolio since it has
a value of 0 for 'out'.


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