[R-SIG-Finance] Problem with PortfolioAnalytics
Sam H
@@m@hhh1 @end|ng |rom gm@||@com
Sun Aug 2 10:08:31 CEST 2020
Hi,
I have come across an issue in PortfolioAnalytics. It might be that my data
(downloaded from Yahoo Finance) simply has issues but I guess this should
not lead Portfolioanalytics to fail.
Error in max_sr_opt(R = R, constraints = constraints, moments = moments, :
Objective function failed with message
Error in optimize(f = sharpe_obj_fun, R = R, constraints = constraints, :
'xmin' not less than 'xmax'
Is this the issue of POrtfolioAnalytics or ROI or is this the issue in my
data? What is the issue and how to solve it or create a workaround?
Below is reproducible code that shows the problem:
library(PortfolioAnalytics)
returnsText <- '
"date","NEAR","MINT"
"2014-07-01",0.000161110006774212,-9.86193284648884e-05
"2014-07-02",-0.000218949044995531,0.000197258111483523
"2014-07-03",-0.000378267533203247,9.86096047428386e-05
"2014-07-07",0,-9.85998818474609e-05
"2014-07-08",-0.000199163513616485,9.86096047428386e-05
"2014-07-09",0.000197211155088084,0.000197199763695144
"2014-07-10",0.000201155547844056,0
"2014-07-11",0.000203106333835912,0.000197160883615322
"2014-07-14",-0.000203065090029986,0
"2014-07-15",0.000509757069411476,0.000169524935917709
"2014-07-16",-0.000111452544867996,-0.00016949620208484
"2014-07-17",-0.000597133756883639,0.000394244036637348
"2014-07-18",0.000597490538653656,-0.000492610837184437
"2014-07-21",0,9.85707246621281e-05
"2014-07-22",-0.000199044586359554,0.000295683027205396
"2014-07-23",-3.78259998102815e-05,-0.000394127499825259
"2014-07-24",3.78274306707116e-05,0
"2014-07-25",-0.000597252636787449,-0.000197141449324145
"2014-07-28",0.000398406373049998,0.000295770482607871
"2014-07-29",0.00019912385541021,0.000295683027205396
"2014-07-30",0,-0.000197063750457582
"2014-07-31",0,0.000502611610304848
"2014-08-01",0.00054833764653095,0.000197122017793872
"2014-08-04",-0.000199123854866534,-0.000689791091990632
"2014-08-05",-0.000300736903335763,0.000493048023763265
"2014-08-06",-9.76194805905051e-05,0
"2014-08-07",0.000203227733818867,0
"2014-08-08",0.000195218346190407,-0.000394244037766889
"2014-08-11",-0.000131447918101602,0.000197199763714462
"2014-08-12",0.000131465198928149,0.000197160883634862
"2014-08-13",0.00019916351307292,0.000197122017793872
"2014-08-14",-1.99123714428318e-06,0
"2014-08-15",0.000199124251370142,-0.000492707922539193
"2014-08-18",-0.000197093764112588,9.85901608789863e-05
"2014-08-19",-0.000199123854866534,0
"2014-08-20",-0.000199163513073031,9.85804418176528e-05
"2014-08-21",0,0.000394282897597575
"2014-08-22",2.78884462789897e-05,-0.000394127499864894
"2014-08-25",-0.000426282932069477,-9.85707246720091e-05
"2014-08-26",0.000398565165061537,0.000394321766179928
"2014-08-27",0.000199203187079666,9.85415847256643e-05
"2014-08-28",-1.19498111355032e-05,-0.000295595624626332
"2014-08-29",0.000211115847003063,0.000413956238783486
"2014-09-02",-0.000876005574944494,-0.000492902208474866
"2014-09-03",0.000516553649691165,0.000197258111695131
"2014-09-04",0.00038073671596095,0.000295828814544263
"2014-09-05",-0.00029889409268935,3.5488959045038e-05
"2014-09-08",-0.000597966911962122,-3.5487699623471e-05
"2014-09-09",0.000398883126886407,-9.85804419127989e-05
"2014-09-10",5.58213729657808e-05,-0.000197180321948931
"2014-09-11",-0.000454520083608245,9.86096048480878e-05
"2014-09-12",0,9.85998819527101e-05
"2014-09-15",0,0.000394360642808511
"2014-09-16",-1.99441482195972e-06,0.000197102591354748
"2014-09-17",0.000201436380012687,-0.000183269286988752
"2014-09-18",-0.000398803588875118,0.000183302880776948
"2014-09-19",0.000797925393260623,-0.000197063749579174
"2014-09-22",-0.000797289215949459,-9.85512962219381e-05
"2014-09-23",0,0.000295683027522475
"2014-09-24",0.000797925393260623,-0.000394127500247143
"2014-09-25",-0.000199322303987337,0.000492853622747313
"2014-09-26",0.000398724082577573,-9.85221677600734e-05
"2014-09-29",0.00019928258471813,-9.85318742451335e-05
"2014-09-30",-6.37577209552376e-05,-0.000650374458294301
"2014-10-01",7.00981129100331e-05,0.000986679822432501
"2014-10-02",0.000388755980016198,-9.85707241716316e-05
"2014-10-03",-0.000189320340130417,-0.000690063092486648
"2014-10-06",-0.000346820809271176,0.000493242577261688
"2014-10-07",0.000346941135676682,0.000394399526516764
"2014-10-08",0.000201315527737389,-9.85610089417888e-05
"2014-10-09",3.38779711579473e-05,-0.000492853623035749
"2014-10-10",-0.000235145012875138,-0.000197238658130816
"2014-10-13",0.000199322305363792,0.000197277568893872
"2014-10-14",0.000398565165606435,0.000197238659219723
"2014-10-15",0.00119521912191933,0.000394399526516764
"2014-10-16",-0.00099482689953001,-0.000591366055827103
"2014-10-17",-0.000328619796307605,-0.000690335305635781
"2014-10-20",-0.000468188112956458,0.000789499655275971
"2014-10-21",0.00139525613096603,9.86096042523421e-05
"2014-10-22",-0.000199044587183228,-0.000492999408962524
"2014-10-23",-0.000597252637073331,-0.000394594061155717
"2014-10-24",0.000398406374703786,0.000394749827093088
"2014-10-27",0,0
"2014-10-28",-0.000388291518670814,0
"2014-10-29",0.000189241143167429,-0.000394594061155717
"2014-10-30",-0.000231029674647831,0.00029606237059232
"2014-10-31",-0.000167336011627328,-1.97316490654353e-05
"2014-11-03",-0.000122952778378926,0
"2014-11-04",0.000201396213098226,0
"2014-11-05",0.000199362042857754,-9.87166832120412e-05
"2014-11-06",-0.000199322305555638,-9.87264291576473e-05
"2014-11-07",-0.000199362040665285,0.000394944708111522
"2014-11-10",0.000199401793813836,9.86971960028615e-05
"2014-11-11",-0.000199362040665285,0
"2014-11-12",0,-0.000234876146634422
"2014-11-13",0.000187437687632297,0.000333641968091047
"2014-11-14",-0.000187402561329542,-0.000197355436238444
"2014-11-17",-6.38085750730433e-05,0.000394788787279277
"2014-11-18",0.000662056203570183,-0.000197316495844313
"2014-11-19",-0.000398565165992459,0.000197355437327573
"2014-11-20",0.000199362042857754,-0.000118389897071025
"2014-11-21",-0.000398644608919363,-0.000177605873436515
"2014-11-24",0,0.000157899931938488
"2014-11-25",0.000598205383634198,-0.000157875003486185
"2014-11-26",-0.000334794738732325,9.86874569168794e-05
"2014-11-28",0.000334906863788342,0.000197355437327573
"2014-12-01",0.000486389000651677,-9.87166831345476e-05
"2014-12-02",-0.000396652177151791,-9.87264290801537e-05
"2014-12-03",-0.000199401794614751,0
"2014-12-04",0,0.000296208530850661
"2014-12-05",-0.000598324690861629,-0.000493534695564235
"2014-12-08",0.000199560965873813,0
"2014-12-09",0,0.000296267035399866
"2014-12-10",-0.000251396648437763,0.000208727416499466
"2014-12-11",-0.00034725409780012,-0.000691562932129686
"2014-12-12",0.00016170892356282,0.000790904597333109
"2014-12-15",0.00036528331564889,-0.00138298923224633
"2014-12-16",-0.000127702709234789,0.000494608763774496
"2014-12-17",-0.000556775094721962,-9.88728487232304e-05
"2014-12-18",-0.000241603287466252,-0.000395530505390096
"2014-12-19",-0.000998601957253209,-0.000593530518055996
"2014-12-22",0.000399840063971757,0.000593883005743923
"2014-12-23",0.000399680255792623,-0.000197843506382078
"2014-12-24",3.72952466447529e-05,-0.000296823983180428
"2014-12-26",0,0.000197941408847546
"2014-12-29",0.000799520286848265,0.000949930734458038
"2014-12-30",0.000419412822907139,-0.000494608764139093
"2014-12-31",-0.00141742029524627,0.000197941409211477
"2015-01-02",0,9.89511180820024e-05
"2015-01-05",0.000599760094678548,9.89413277270312e-05
"2015-01-06",0.000965034964814926,-0.000197863078618354
"2015-01-07",-0.000864300783189664,0.000395804472327788
"2015-01-08",0.00089901108807422,-0.00108803165110805
"2015-01-09",0.000199600798706845,0.000495098524277537
"2015-01-12",0,-0.000197941409211366
"2015-01-13",0,0.000593941793309849
"2015-01-14",0.000399121930165558,-0.000296794617927421
"2015-01-15",-0.000398962695404403,9.89609103747568e-05
"2015-01-16",0.000399121930165558,-0.000692657826573684
"2015-01-20",-0.00099740674179738,0.00108921675341067
"2015-01-21",0.000796725239052831,-0.000791295746260245
"2015-01-22",-0.000995612520915179,0.000296970896654924
"2015-01-23",0.000599161175268037,0
"2015-01-26",0,0.000197921820749514
"2015-01-27",-0.000598802396120535,0
"2015-01-28",0.00032354703512727,0.000191946175833735
"2015-01-29",-0.000119793477545094,-9.29869996078025e-05
"2015-01-30",0.000539135227258791,0.000613375543934369
"2015-02-02",0.000305924098682908,-0.000395726156791842
"2015-02-03",0.000399281293311349,-0.000197941409533775
"2015-02-04",-0.000261424864042237,0.000296970897138538
"2015-02-05",6.18800764327077e-05,-9.89609105357392e-05
"2015-02-06",-0.000698602795423664,-0.0010886777513458
"2015-02-09",9.9870169238736e-05,0.00108986426232005
"2015-02-10",0.000399440782543614,0.000197941408444091
"2015-02-11",0.000199640647751131,-0.00029685335364027
"2015-02-12",0,0.0003959220026577
"2015-02-13",-0.000199600799318245,-9.89413278882356e-05
"2015-02-17",-0.000588939907798625,0.000197902236486414
"2015-02-18",0.000389528671218109,0.000296794618410701
"2015-02-19",0.000798722044007327,0.000296706557501025
"2015-02-20",-0.000458898644046579,-0.000148309274416336
"2015-02-23",0.000259496576516804,-4.94437577732709e-05
"2015-02-24",0.000199560966790413,0.000197784810317403
"2015-02-25",0.000399042298123486,-0.000296618548832561
"2015-02-26",-0.000199441562347635,0.000494510929168523
"2015-02-27",0.000199481347219033,-0.000237247924962269
"2015-03-02",-0.00101557638576522,-9.89315392826429e-05
"2015-03-03",0.000999000999640121,9.89413277003859e-05
"2015-03-04",0.000199600798092892,0
"2015-03-05",-8.78068262490928e-05,0.000296794618936502
"2015-03-06",-0.000327308723116593,-9.89021856461214e-05
"2015-03-09",0.000397291231692742,0.000989119682560435
"2015-03-10",-0.000161647285065403,9.88142302440487e-05
"2015-03-11",0.000578830761837512,-0.000592826796305901
"2015-03-12",-0.000398962696368299,-0.000197726149099076
"2015-03-13",0.000199560965565171,0.000395530504921915
"2015-03-16",0,-0.000247108827041043
"2015-03-17",0,0.000247169904906253
"2015-03-18",-0.000199521148931958,0.000395374123483005
"2015-03-19",0,-0.00069163126217564
"2015-03-20",-9.57892632084123e-05,9.88728494233371e-05
"2015-03-23",-0.000103781643523648,0.000790904597484321
"2015-03-24",0.000399201596186005,-0.000197569890164728
"2015-03-25",0,-9.88044669567589e-05
"2015-03-26",0.000399042297863694,-0.000494071145785369
"2015-03-27",-0.000199441563312086,0.000395452298198373
"2015-03-30",0.000199481348184039,0.000197647989834904
"2015-03-31",0.000199441563312197,-4.94022334783795e-05
"2015-04-01",-0.00011058823470167,0.000405342613665427
"2015-04-02",-0.000199560966330781,-9.88239946962954e-05
"2015-04-06",0.000399201597718113,0.000197667523686773
"2015-04-07",-0.000199521149697346,-0.000494071146310504
"2015-04-08",0,0.00019673751829985
"2015-04-09",0.000798243863135983,-0.000295542448883968
"2015-04-10",-0.000199401792886245,0.000296618548151217
"2015-04-13",-0.000199441564076919,0.00069190471536329
"2015-04-14",0.000797925393610566,-0.000197550375806266
"2015-04-15",-0.000364759816298466,0.000296384113416481
"2015-04-16",-3.38971572640956e-05,9.87654323292286e-05
"2015-04-17",-0.000598205383029238,-0.000493778392323452
"2015-04-20",0.000598563446905231,9.88044661922594e-05
"2015-04-21",0,-0.000395178818250796
"2015-04-22",-0.000199401792886245,9.98220990706677e-05
"2015-04-23",0,0.000493131245507206
"2015-04-24",0.000199441561891334,9.87751868171127e-05
"2015-04-27",-0.000199401792886245,-0.000197530863572326
"2015-04-28",0.000398883125968252,-9.87849454047174e-05
"2015-04-29",-0.000713716108378337,-0.000197589408582277
"2015-04-30",0.000714225862881612,0.0005928853747037
"2015-05-01",0.000282037480494379,-0.000988142292275507
"2015-05-04",-0.000199441562950597,0.000494559842176834
"2015-05-05",0.000359066425643206,0.000197726148371213
"2015-05-06",-0.000159527796745107,0
"2015-05-07",0.000199441562950486,0.000197687061556096
"2015-05-08",0,0.000395295978211863
"2015-05-11",9.97008969727542e-05,-0.000493924726307049
"2015-05-12",9.96909598782736e-05,0.000296501285100392
"2015-05-13",-0.000797448167551118,0.000790435728391659
"2015-05-14",-0.000399042297140717,0
"2015-05-15",0.000399201595462362,-0.000276434001625692
"2015-05-18",0,7.90029824320193e-05
"2015-05-19",-7.98084581170588e-05,0
"2015-05-20",0.000478888976833902,0.000789967413455273
"2015-05-21",0,-0.000690675875202995
"2015-05-22",0,9.87361770221629e-05
"2015-05-26",0.000199441562950486,0
"2015-05-27",0.000199401796128873,-9.87264291519852e-05
"2015-05-28",-0.000223285487700342,0.000394944707003964
"2015-05-29",2.39287876717675e-05,0.000138176075921148
"2015-06-01",0.000503649054035327,-0.000197491852779952
"2015-06-02",-0.000398883127633032,-0.000395061729201562
"2015-06-03",9.97605752641739e-05,-9.88044656212717e-05
"2015-06-04",-9.97506240845158e-05,0.000395256916718267
"2015-06-05",0,-0.000197550374664623
"2015-06-08",-0.000798084597746107,0.000493973522400326
"2015-06-09",0.000996405751629847,-0.000197491852779952
"2015-06-10",1.99481651663724e-06,9.87654317581299e-05
"2015-06-11",-0.000199481347597286,0
"2015-06-12",0.000199521148344761,-0.000395022713528315
"2015-06-15",-0.000598444044974777,0.000296384113874115
"2015-06-16",0.000598802394702114,0.00019753086351626
"2015-06-17",-0.000199481347597286,-0.00039498370664437
"2015-06-18",-0.00059856344721787,0
"2015-06-19",0.000798562585937024,0.000395139780419385
"2015-06-22",0.000199481349780317,-0.00039498370664437
"2015-06-23",-0.00059832469254073,-9.87849448337297e-05
"2015-06-24",-0.000399121929956281,0
"2015-06-25",-0.000199640648122834,-9.87947053479044e-05
"2015-06-26",0.000998402555793199,0.000197608932327231
"2015-06-29",-0.000173548771514542,9.87849448337297e-05
"2015-06-30",0.00037309487145154,-0.00018767285625676
'
returns <- as.xts(read.zoo(file=textConnection(returnsText),
index.column="date", read=read.csv))
portfolioSpec <- portfolio.spec(assets=colnames(returns))
portfolioSpec <- add.constraint(portfolio=portfolioSpec,
type="full_investment", enabled=TRUE)
portfolioSpec <- add.constraint(portfolio=portfolioSpec, type="box",
min=0.0, max=1.0, enabled=TRUE)
portfolioSpec <- add.objective(portfolio=portfolioSpec, type="return",
name="mean", enabled=TRUE, multiplier=-1)
portfolioSpec <- add.objective(portfolio=portfolioSpec, type="risk",
name="StdDev", enabled=TRUE, multiplier=1, risk_aversion=1e-9)
maxSROpt <- optimize.portfolio(R=returns,
portfolio=portfolioSpec,
optimize_method="ROI",
maxSR=TRUE,
trace=TRUE)
This is the output in R when I run the code above:
> library(PortfolioAnalytics)
Loading required package: zoo
Attaching package: ‘zoo’
The following objects are masked from ‘package:base’:
as.Date, as.Date.numeric
Loading required package: xts
Loading required package: foreach
Loading required package: PerformanceAnalytics
Attaching package: ‘PerformanceAnalytics’
The following object is masked from ‘package:graphics’:
legend
>
> returnsText <- '
+ "date","NEAR","MINT"
+ "2014-07-01",0.000161110006774212,-9.86193284648884e-05
+ "2014-07-02",-0.000218949044995531,0.000197258111483523
+ "2014-07-03",-0.000378267533203247,9.86096047428386e-05
+ "2014-07-07",0,-9.85998818474609e-05
+ "2014-07-08",-0.000199163513616485,9.86096047428386e-05
+ "2014-07-09",0.000197211155088084,0.000197199763695144
+ "2014-07-10",0.000201155547844056,0
+ "2014-07-11",0.000203106333835912,0.000197160883615322
+ "2014-07-14",-0.000203065090029986,0
+ "2014-07-15",0.000509757069411476,0.000169524935917709
+ "2014-07-16",-0.000111452544867996,-0.00016949620208484
+ "2014-07-17",-0.000597133756883639,0.000394244036637348
+ "2014-07-18",0.000597490538653656,-0.000492610837184437
+ "2014-07-21",0,9.85707246621281e-05
+ "2014-07-22",-0.000199044586359554,0.000295683027205396
+ "2014-07-23",-3.78259998102815e-05,-0.000394127499825259
+ "2014-07-24",3.78274306707116e-05,0
+ "2014-07-25",-0.000597252636787449,-0.000197141449324145
+ "2014-07-28",0.000398406373049998,0.000295770482607871
+ "2014-07-29",0.00019912385541021,0.000295683027205396
+ "2014-07-30",0,-0.000197063750457582
+ "2014-07-31",0,0.000502611610304848
+ "2014-08-01",0.00054833764653095,0.000197122017793872
+ "2014-08-04",-0.000199123854866534,-0.000689791091990632
+ "2014-08-05",-0.000300736903335763,0.000493048023763265
+ "2014-08-06",-9.76194805905051e-05,0
+ "2014-08-07",0.000203227733818867,0
+ "2014-08-08",0.000195218346190407,-0.000394244037766889
+ "2014-08-11",-0.000131447918101602,0.000197199763714462
+ "2014-08-12",0.000131465198928149,0.000197160883634862
+ "2014-08-13",0.00019916351307292,0.000197122017793872
+ "2014-08-14",-1.99123714428318e-06,0
+ "2014-08-15",0.000199124251370142,-0.000492707922539193
+ "2014-08-18",-0.000197093764112588,9.85901608789863e-05
+ "2014-08-19",-0.000199123854866534,0
+ "2014-08-20",-0.000199163513073031,9.85804418176528e-05
+ "2014-08-21",0,0.000394282897597575
+ "2014-08-22",2.78884462789897e-05,-0.000394127499864894
+ "2014-08-25",-0.000426282932069477,-9.85707246720091e-05
+ "2014-08-26",0.000398565165061537,0.000394321766179928
+ "2014-08-27",0.000199203187079666,9.85415847256643e-05
+ "2014-08-28",-1.19498111355032e-05,-0.000295595624626332
+ "2014-08-29",0.000211115847003063,0.000413956238783486
+ "2014-09-02",-0.000876005574944494,-0.000492902208474866
+ "2014-09-03",0.000516553649691165,0.000197258111695131
+ "2014-09-04",0.00038073671596095,0.000295828814544263
+ "2014-09-05",-0.00029889409268935,3.5488959045038e-05
+ "2014-09-08",-0.000597966911962122,-3.5487699623471e-05
+ "2014-09-09",0.000398883126886407,-9.85804419127989e-05
+ "2014-09-10",5.58213729657808e-05,-0.000197180321948931
+ "2014-09-11",-0.000454520083608245,9.86096048480878e-05
+ "2014-09-12",0,9.85998819527101e-05
+ "2014-09-15",0,0.000394360642808511
+ "2014-09-16",-1.99441482195972e-06,0.000197102591354748
+ "2014-09-17",0.000201436380012687,-0.000183269286988752
+ "2014-09-18",-0.000398803588875118,0.000183302880776948
+ "2014-09-19",0.000797925393260623,-0.000197063749579174
+ "2014-09-22",-0.000797289215949459,-9.85512962219381e-05
+ "2014-09-23",0,0.000295683027522475
+ "2014-09-24",0.000797925393260623,-0.000394127500247143
+ "2014-09-25",-0.000199322303987337,0.000492853622747313
+ "2014-09-26",0.000398724082577573,-9.85221677600734e-05
+ "2014-09-29",0.00019928258471813,-9.85318742451335e-05
+ "2014-09-30",-6.37577209552376e-05,-0.000650374458294301
+ "2014-10-01",7.00981129100331e-05,0.000986679822432501
+ "2014-10-02",0.000388755980016198,-9.85707241716316e-05
+ "2014-10-03",-0.000189320340130417,-0.000690063092486648
+ "2014-10-06",-0.000346820809271176,0.000493242577261688
+ "2014-10-07",0.000346941135676682,0.000394399526516764
+ "2014-10-08",0.000201315527737389,-9.85610089417888e-05
+ "2014-10-09",3.38779711579473e-05,-0.000492853623035749
+ "2014-10-10",-0.000235145012875138,-0.000197238658130816
+ "2014-10-13",0.000199322305363792,0.000197277568893872
+ "2014-10-14",0.000398565165606435,0.000197238659219723
+ "2014-10-15",0.00119521912191933,0.000394399526516764
+ "2014-10-16",-0.00099482689953001,-0.000591366055827103
+ "2014-10-17",-0.000328619796307605,-0.000690335305635781
+ "2014-10-20",-0.000468188112956458,0.000789499655275971
+ "2014-10-21",0.00139525613096603,9.86096042523421e-05
+ "2014-10-22",-0.000199044587183228,-0.000492999408962524
+ "2014-10-23",-0.000597252637073331,-0.000394594061155717
+ "2014-10-24",0.000398406374703786,0.000394749827093088
+ "2014-10-27",0,0
+ "2014-10-28",-0.000388291518670814,0
+ "2014-10-29",0.000189241143167429,-0.000394594061155717
+ "2014-10-30",-0.000231029674647831,0.00029606237059232
+ "2014-10-31",-0.000167336011627328,-1.97316490654353e-05
+ "2014-11-03",-0.000122952778378926,0
+ "2014-11-04",0.000201396213098226,0
+ "2014-11-05",0.000199362042857754,-9.87166832120412e-05
+ "2014-11-06",-0.000199322305555638,-9.87264291576473e-05
+ "2014-11-07",-0.000199362040665285,0.000394944708111522
+ "2014-11-10",0.000199401793813836,9.86971960028615e-05
+ "2014-11-11",-0.000199362040665285,0
+ "2014-11-12",0,-0.000234876146634422
+ "2014-11-13",0.000187437687632297,0.000333641968091047
+ "2014-11-14",-0.000187402561329542,-0.000197355436238444
+ "2014-11-17",-6.38085750730433e-05,0.000394788787279277
+ "2014-11-18",0.000662056203570183,-0.000197316495844313
+ "2014-11-19",-0.000398565165992459,0.000197355437327573
+ "2014-11-20",0.000199362042857754,-0.000118389897071025
+ "2014-11-21",-0.000398644608919363,-0.000177605873436515
+ "2014-11-24",0,0.000157899931938488
+ "2014-11-25",0.000598205383634198,-0.000157875003486185
+ "2014-11-26",-0.000334794738732325,9.86874569168794e-05
+ "2014-11-28",0.000334906863788342,0.000197355437327573
+ "2014-12-01",0.000486389000651677,-9.87166831345476e-05
+ "2014-12-02",-0.000396652177151791,-9.87264290801537e-05
+ "2014-12-03",-0.000199401794614751,0
+ "2014-12-04",0,0.000296208530850661
+ "2014-12-05",-0.000598324690861629,-0.000493534695564235
+ "2014-12-08",0.000199560965873813,0
+ "2014-12-09",0,0.000296267035399866
+ "2014-12-10",-0.000251396648437763,0.000208727416499466
+ "2014-12-11",-0.00034725409780012,-0.000691562932129686
+ "2014-12-12",0.00016170892356282,0.000790904597333109
+ "2014-12-15",0.00036528331564889,-0.00138298923224633
+ "2014-12-16",-0.000127702709234789,0.000494608763774496
+ "2014-12-17",-0.000556775094721962,-9.88728487232304e-05
+ "2014-12-18",-0.000241603287466252,-0.000395530505390096
+ "2014-12-19",-0.000998601957253209,-0.000593530518055996
+ "2014-12-22",0.000399840063971757,0.000593883005743923
+ "2014-12-23",0.000399680255792623,-0.000197843506382078
+ "2014-12-24",3.72952466447529e-05,-0.000296823983180428
+ "2014-12-26",0,0.000197941408847546
+ "2014-12-29",0.000799520286848265,0.000949930734458038
+ "2014-12-30",0.000419412822907139,-0.000494608764139093
+ "2014-12-31",-0.00141742029524627,0.000197941409211477
+ "2015-01-02",0,9.89511180820024e-05
+ "2015-01-05",0.000599760094678548,9.89413277270312e-05
+ "2015-01-06",0.000965034964814926,-0.000197863078618354
+ "2015-01-07",-0.000864300783189664,0.000395804472327788
+ "2015-01-08",0.00089901108807422,-0.00108803165110805
+ "2015-01-09",0.000199600798706845,0.000495098524277537
+ "2015-01-12",0,-0.000197941409211366
+ "2015-01-13",0,0.000593941793309849
+ "2015-01-14",0.000399121930165558,-0.000296794617927421
+ "2015-01-15",-0.000398962695404403,9.89609103747568e-05
+ "2015-01-16",0.000399121930165558,-0.000692657826573684
+ "2015-01-20",-0.00099740674179738,0.00108921675341067
+ "2015-01-21",0.000796725239052831,-0.000791295746260245
+ "2015-01-22",-0.000995612520915179,0.000296970896654924
+ "2015-01-23",0.000599161175268037,0
+ "2015-01-26",0,0.000197921820749514
+ "2015-01-27",-0.000598802396120535,0
+ "2015-01-28",0.00032354703512727,0.000191946175833735
+ "2015-01-29",-0.000119793477545094,-9.29869996078025e-05
+ "2015-01-30",0.000539135227258791,0.000613375543934369
+ "2015-02-02",0.000305924098682908,-0.000395726156791842
+ "2015-02-03",0.000399281293311349,-0.000197941409533775
+ "2015-02-04",-0.000261424864042237,0.000296970897138538
+ "2015-02-05",6.18800764327077e-05,-9.89609105357392e-05
+ "2015-02-06",-0.000698602795423664,-0.0010886777513458
+ "2015-02-09",9.9870169238736e-05,0.00108986426232005
+ "2015-02-10",0.000399440782543614,0.000197941408444091
+ "2015-02-11",0.000199640647751131,-0.00029685335364027
+ "2015-02-12",0,0.0003959220026577
+ "2015-02-13",-0.000199600799318245,-9.89413278882356e-05
+ "2015-02-17",-0.000588939907798625,0.000197902236486414
+ "2015-02-18",0.000389528671218109,0.000296794618410701
+ "2015-02-19",0.000798722044007327,0.000296706557501025
+ "2015-02-20",-0.000458898644046579,-0.000148309274416336
+ "2015-02-23",0.000259496576516804,-4.94437577732709e-05
+ "2015-02-24",0.000199560966790413,0.000197784810317403
+ "2015-02-25",0.000399042298123486,-0.000296618548832561
+ "2015-02-26",-0.000199441562347635,0.000494510929168523
+ "2015-02-27",0.000199481347219033,-0.000237247924962269
+ "2015-03-02",-0.00101557638576522,-9.89315392826429e-05
+ "2015-03-03",0.000999000999640121,9.89413277003859e-05
+ "2015-03-04",0.000199600798092892,0
+ "2015-03-05",-8.78068262490928e-05,0.000296794618936502
+ "2015-03-06",-0.000327308723116593,-9.89021856461214e-05
+ "2015-03-09",0.000397291231692742,0.000989119682560435
+ "2015-03-10",-0.000161647285065403,9.88142302440487e-05
+ "2015-03-11",0.000578830761837512,-0.000592826796305901
+ "2015-03-12",-0.000398962696368299,-0.000197726149099076
+ "2015-03-13",0.000199560965565171,0.000395530504921915
+ "2015-03-16",0,-0.000247108827041043
+ "2015-03-17",0,0.000247169904906253
+ "2015-03-18",-0.000199521148931958,0.000395374123483005
+ "2015-03-19",0,-0.00069163126217564
+ "2015-03-20",-9.57892632084123e-05,9.88728494233371e-05
+ "2015-03-23",-0.000103781643523648,0.000790904597484321
+ "2015-03-24",0.000399201596186005,-0.000197569890164728
+ "2015-03-25",0,-9.88044669567589e-05
+ "2015-03-26",0.000399042297863694,-0.000494071145785369
+ "2015-03-27",-0.000199441563312086,0.000395452298198373
+ "2015-03-30",0.000199481348184039,0.000197647989834904
+ "2015-03-31",0.000199441563312197,-4.94022334783795e-05
+ "2015-04-01",-0.00011058823470167,0.000405342613665427
+ "2015-04-02",-0.000199560966330781,-9.88239946962954e-05
+ "2015-04-06",0.000399201597718113,0.000197667523686773
+ "2015-04-07",-0.000199521149697346,-0.000494071146310504
+ "2015-04-08",0,0.00019673751829985
+ "2015-04-09",0.000798243863135983,-0.000295542448883968
+ "2015-04-10",-0.000199401792886245,0.000296618548151217
+ "2015-04-13",-0.000199441564076919,0.00069190471536329
+ "2015-04-14",0.000797925393610566,-0.000197550375806266
+ "2015-04-15",-0.000364759816298466,0.000296384113416481
+ "2015-04-16",-3.38971572640956e-05,9.87654323292286e-05
+ "2015-04-17",-0.000598205383029238,-0.000493778392323452
+ "2015-04-20",0.000598563446905231,9.88044661922594e-05
+ "2015-04-21",0,-0.000395178818250796
+ "2015-04-22",-0.000199401792886245,9.98220990706677e-05
+ "2015-04-23",0,0.000493131245507206
+ "2015-04-24",0.000199441561891334,9.87751868171127e-05
+ "2015-04-27",-0.000199401792886245,-0.000197530863572326
+ "2015-04-28",0.000398883125968252,-9.87849454047174e-05
+ "2015-04-29",-0.000713716108378337,-0.000197589408582277
+ "2015-04-30",0.000714225862881612,0.0005928853747037
+ "2015-05-01",0.000282037480494379,-0.000988142292275507
+ "2015-05-04",-0.000199441562950597,0.000494559842176834
+ "2015-05-05",0.000359066425643206,0.000197726148371213
+ "2015-05-06",-0.000159527796745107,0
+ "2015-05-07",0.000199441562950486,0.000197687061556096
+ "2015-05-08",0,0.000395295978211863
+ "2015-05-11",9.97008969727542e-05,-0.000493924726307049
+ "2015-05-12",9.96909598782736e-05,0.000296501285100392
+ "2015-05-13",-0.000797448167551118,0.000790435728391659
+ "2015-05-14",-0.000399042297140717,0
+ "2015-05-15",0.000399201595462362,-0.000276434001625692
+ "2015-05-18",0,7.90029824320193e-05
+ "2015-05-19",-7.98084581170588e-05,0
+ "2015-05-20",0.000478888976833902,0.000789967413455273
+ "2015-05-21",0,-0.000690675875202995
+ "2015-05-22",0,9.87361770221629e-05
+ "2015-05-26",0.000199441562950486,0
+ "2015-05-27",0.000199401796128873,-9.87264291519852e-05
+ "2015-05-28",-0.000223285487700342,0.000394944707003964
+ "2015-05-29",2.39287876717675e-05,0.000138176075921148
+ "2015-06-01",0.000503649054035327,-0.000197491852779952
+ "2015-06-02",-0.000398883127633032,-0.000395061729201562
+ "2015-06-03",9.97605752641739e-05,-9.88044656212717e-05
+ "2015-06-04",-9.97506240845158e-05,0.000395256916718267
+ "2015-06-05",0,-0.000197550374664623
+ "2015-06-08",-0.000798084597746107,0.000493973522400326
+ "2015-06-09",0.000996405751629847,-0.000197491852779952
+ "2015-06-10",1.99481651663724e-06,9.87654317581299e-05
+ "2015-06-11",-0.000199481347597286,0
+ "2015-06-12",0.000199521148344761,-0.000395022713528315
+ "2015-06-15",-0.000598444044974777,0.000296384113874115
+ "2015-06-16",0.000598802394702114,0.00019753086351626
+ "2015-06-17",-0.000199481347597286,-0.00039498370664437
+ "2015-06-18",-0.00059856344721787,0
+ "2015-06-19",0.000798562585937024,0.000395139780419385
+ "2015-06-22",0.000199481349780317,-0.00039498370664437
+ "2015-06-23",-0.00059832469254073,-9.87849448337297e-05
+ "2015-06-24",-0.000399121929956281,0
+ "2015-06-25",-0.000199640648122834,-9.87947053479044e-05
+ "2015-06-26",0.000998402555793199,0.000197608932327231
+ "2015-06-29",-0.000173548771514542,9.87849448337297e-05
+ "2015-06-30",0.00037309487145154,-0.00018767285625676
+ '
>
> returns <- as.xts(read.zoo(file=textConnection(returnsText),
index.column="date", read=read.csv))
>
> portfolioSpec <- portfolio.spec(assets=colnames(returns))
> portfolioSpec <- add.constraint(portfolio=portfolioSpec,
type="full_investment", enabled=TRUE)
> portfolioSpec <- add.constraint(portfolio=portfolioSpec, type="box",
min=0.0, max=1.0, enabled=TRUE)
> portfolioSpec <- add.objective(portfolio=portfolioSpec, type="return",
name="mean", enabled=TRUE, multiplier=-1)
> portfolioSpec <- add.objective(portfolio=portfolioSpec, type="risk",
name="StdDev", enabled=TRUE, multiplier=1, risk_aversion=1e-9)
>
> maxSROpt <- optimize.portfolio(R=returns,
+ portfolio=portfolioSpec,
+ optimize_method="ROI",
+ maxSR=TRUE,
+ trace=TRUE)
Registered S3 method overwritten by 'ROI':
method from
print.constraint PortfolioAnalytics
Error in max_sr_opt(R = R, constraints = constraints, moments = moments, :
Objective function failed with message
Error in optimize(f = sharpe_obj_fun, R = R, constraints = constraints, :
'xmin' not less than 'xmax'
My sessionInfo():
> sessionInfo()
R version 4.0.2 (2020-06-22)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Ubuntu 18.04.4 LTS
Matrix products: default
BLAS: /usr/lib/x86_64-linux-gnu/openblas/libblas.so.3
LAPACK: /usr/lib/x86_64-linux-gnu/openblas/liblapack.so.3
locale:
[1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C
[3] LC_TIME=en_US.UTF-8 LC_COLLATE=en_US.UTF-8
[5] LC_MONETARY=en_US.UTF-8 LC_MESSAGES=en_US.UTF-8
[7] LC_PAPER=en_US.UTF-8 LC_NAME=en_US.UTF-8
[9] LC_ADDRESS=en_US.UTF-8 LC_TELEPHONE=en_US.UTF-8
[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=en_US.UTF-8
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] PortfolioAnalytics_1.1.0 PerformanceAnalytics_2.0.4
[3] foreach_1.5.0 xts_0.12-0.1
[5] zoo_1.8-8 rj_4.0.1-4
loaded via a namespace (and not attached):
[1] rj.gd_4.0.1-3 quadprog_1.5-8 lattice_0.20-41
[4] codetools_0.2-16 slam_0.1-47 grid_4.0.2
[7] ROI.plugin.glpk_0.3-0 registry_0.5-1 iterators_1.0.12
[10] tools_4.0.2 ROI_0.3-3 numDeriv_2016.8-1.1
[13] compiler_4.0.2 Rglpk_0.6-4
--
Best regards,
Sam
[[alternative HTML version deleted]]
More information about the R-SIG-Finance
mailing list