# [R-SIG-Finance] Some problems while reading Diethelm Würtz's Portfolio Optimization with R book

Baki UNAL bakiunal at yahoo.com
Sun Aug 27 15:35:27 CEST 2017

```Hello
I am reading Diethelm Würtz's Portfolio Optimization with R book. I encountered a problem at "17.2 How to Compute a Minimum Risk Efficient Portfolio" part. I entered the commands:

> minriskSpec <- portfolioSpec()> targetReturn <- getTargetReturn(ewPortfolio at portfolio)["mean"]> setTargetReturn(minriskSpec) <- targetReturn
> minriskPortfolio <- efficientPortfolio(data = lppData,spec = minriskSpec,constraints = "LongOnly")> print(minriskPortfolio)

But I got the following output:

Title: MV Efficient Portfolio  Estimator:         covEstimator  Solver:            solveRquadprog  Optimize:          minRisk  Constraints:       LongOnly
Portfolio Weights:SBI SPI SII LMI MPI ALT   0   0   0   0   0   0
Covariance Risk Budgets:SBI SPI SII LMI MPI ALT
Target Returns and Risks:mean  Cov CVaR  VaR    0    0    0    0
Description: Sun Aug 27 16:00:42 2017 by user: win7120

As you notice R does not compute Portfolio Weights, Target Returns and Risks... etc.
I also tried to run the code at "17.3 How to Compute the Global Minimum Variance Portfolio" which is:

> globminSpec <- portfolioSpec()> globminPortfolio <- minvariancePortfolio(data = lppData,spec = globminSpec,constraints = "LongOnly")> print(globminPortfolio)

But I got the following output:

Title:
MV Minimum Variance Portfolio
Estimator:         covEstimator
Optimize:          minRisk
Constraints:       LongOnly

Portfolio Weights:
SBI SPI SII LMI MPI ALT
0   0   0   0   0   0

Covariance Risk Budgets:
SBI SPI SII LMI MPI ALT

Target Returns and Risks:
mean  Cov CVaR  VaR
0    0    0    0

Description:
Sun Aug 27 16:12:21 2017 by user: win7120

As you see R does not make computations again.

I also tried to run the code at "17.4 How to Compute the Tangency Portfolio" which is:

> tgSpec <- portfolioSpec()> setRiskFreeRate(tgSpec) <- 0

> tgPortfolio <- tangencyPortfolio(data = lppData,spec = tgSpec,constraints = "LongOnly")

This time I got the following error:

Error in if (STATUS != 0) { : argument is of length zero

What may be the problem? Could you help?
Thanks

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