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

[Brian G. Peterson]

Regrettably, Diethelm died in a car accident last year.  He is missed by 
many in this community who appreciated his advice, openness, and 
fostering of the community.

fPortfolio has not been updated for some time.  I would suggest looking 
at Berhard Pfaff's excellent risk and portfolio management book, as well 
as at packages such as PortfolioAnalytics for actually doing portfolio 
optimization in R.

I still refer to Diethelm's book for ideas and visualizations, but I do 
not use that code.

Regards,

Brian

On 08/27/2017 08:35 AM, Baki UNAL via R-SIG-Finance wrote:
> 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
>   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 16:12:21 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
> 
> 
> 
> 
> 
> 
> 
> 	[[alternative HTML version deleted]]
> 
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
> 


-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock