[R-SIG-Finance] PortfolioAnalytics broken?

[diego peroni]

Hi,

package PortfolioAnalytics doesn’t work when try to plot charts…

Anyone have idea of the problem?

Thanks
Diego

> PortfolioAnalytics::chart.RiskReward(object=minSD.opt,
+         risk.col="ES", return.col="mean", chart.assets=FALSE)
Error in applyFUN(R = R, weights = wts, FUN = return.col) : 
  argument "arguments" is missing, with no default
In addition: Warning message:
In chart.RiskReward.optimize.portfolio.random(object = minSD.opt,  :
  mean or ES do  not match extractStats output of $objective_measures slot

> plot(minSD.opt, risk.col="StdDev", chart.assets=F,
+      main="Min SD Optimization",
+      ylim=c(0, 0.0083), xlim=c(0, 0.06))
Error in applyFUN(R = R, weights = wts, FUN = return.col) : 
  argument "arguments" is missing, with no default
In addition: Warning message:
In chart.Scatter.RP(object = RP, risk.col = risk.col, return.col = return.col,  :
  mean or StdDev do  not match extractStats output of $objective_measures slot

---------------------------------------------------------
Here a standard working example to check
---------------------------------------------------------

library(PortfolioAnalytics)

data(edhec)
returns <- edhec[, 1:6]
funds <- colnames(returns)

init.portfolio <- portfolio.spec(assets=funds)
print.default(init.portfolio)

init.portfolio <- add.constraint(portfolio = init.portfolio, type = "full_investment")
init.portfolio <- add.constraint(portfolio = init.portfolio, type = "long_only")

# Add objective for portfolio to minimize portfolio standard deviation
minSD.portfolio <- add.objective(portfolio=init.portfolio,
                                 type="risk",
                                 name="StdDev")

print(minSD.portfolio)

# Run the optimization for the minimum standard deviation portfolio
minSD.opt <- optimize.portfolio(R=returns, portfolio = minSD.portfolio,
                                optimize_method = "random", trace = TRUE)

print(minSD.opt)

PortfolioAnalytics::chart.RiskReward(object=minSD.opt,
        risk.col="ES", return.col="mean", chart.assets=FALSE)

PortfolioAnalytics::extractWeights(minSD.opt)
PortfolioAnalytics::chart.Weights(minSD.opt)

plot(minSD.opt, risk.col="StdDev", chart.assets=F,
     main="Min SD Optimization",
     ylim=c(0, 0.0083), xlim=c(0, 0.06))

---------------------------------------------------------

My current configuration is:

> sessionInfo()
R version 4.1.2 (2021-11-01)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: CentOS Linux 7 (Core)

Matrix products: default
BLAS/LAPACK: /usr/lib64/libopenblasp-r0.3.3.so

locale:
 [1] LC_CTYPE=en_US.UTF-8       LC_NUMERIC=C               LC_TIME=en_US.UTF-8       
 [4] LC_COLLATE=en_US.UTF-8     LC_MONETARY=en_US.UTF-8    LC_MESSAGES=en_US.UTF-8   
 [7] LC_PAPER=en_US.UTF-8       LC_NAME=C                  LC_ADDRESS=C              
[10] LC_TELEPHONE=C             LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C       

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] PortfolioAnalytics_1.1.0   PerformanceAnalytics_2.0.4 foreach_1.5.2             
[4] xts_0.12.2                 zoo_1.8-11                

loaded via a namespace (and not attached):
 [1] httr_1.4.4           pkgload_1.3.2        tidyr_1.2.1          jsonlite_1.8.4      
 [5] viridisLite_0.4.1    microbenchmark_1.4.9 shiny_1.7.4          assertthat_0.2.1    
 [9] TTR_0.24.3           cellranger_1.1.0     remotes_2.4.2        sessioninfo_1.2.2   
[13] pillar_1.8.1         lattice_0.20-45      glue_1.6.2           quadprog_1.5-8      
[17] digest_0.6.31        promises_1.2.0.1     colorspace_2.0-3     htmltools_0.5.4     
[21] httpuv_1.6.7         plyr_1.8.8           pkgconfig_2.0.3      devtools_2.4.5      
[25] purrr_1.0.1          xtable_1.8-4         scales_1.2.1         processx_3.8.0      
[29] later_1.3.0          tzdb_0.3.0           timechange_0.1.1     tibble_3.1.8        
[33] generics_0.1.3       ggplot2_3.4.0        usethis_2.1.6        ellipsis_0.3.2      
[37] cachem_1.0.6         lazyeval_0.2.2       cli_3.6.0            magrittr_2.0.3      
[41] crayon_1.5.2         readxl_1.4.1         mime_0.12            memoise_2.0.1       
[45] ps_1.7.2             fs_1.5.2             fansi_1.0.3          pkgbuild_1.4.0      
[49] profvis_0.3.7        tools_4.1.2          data.table_1.14.6    prettyunits_1.1.1   
[53] hms_1.1.2            lifecycle_1.0.3      stringr_1.5.0        plotly_4.10.1       
[57] munsell_0.5.0        writexl_1.4.2        callr_3.7.3          compiler_4.1.2      
[61] IBrokers_0.10-2      rlang_1.0.6          grid_4.1.2           iterators_1.0.14    
[65] rstudioapi_0.14      htmlwidgets_1.6.1    miniUI_0.1.1.1       codetools_0.2-18    
[69] gtable_0.3.1         DBI_1.1.3            curl_4.3.3           R6_2.5.1            
[73] quantF_0.1.1         lubridate_1.9.0      dplyr_1.0.10         fastmap_1.1.0       
[77] utf8_1.2.2           readr_2.1.3          stringi_1.7.12       parallel_4.1.2      
[81] Rcpp_1.0.9           vctrs_0.5.1          tidyselect_1.2.0     urlchecker_1.0.1    







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