Looked at your data and original post:



1. the estimate numbers are slightly different from yours.

Target Return and Risks:

     mean     mu    Cov  Sigma   CVaR    VaR

1  0.0032 0.0032 0.0440 0.0440 0.1115 0.0810

13 0.0042 0.0042 0.0366 0.0366 0.0910 0.0641

25 0.0052 0.0052 0.0301 0.0301 0.0716 0.0457

37 0.0062 0.0062 0.0251 0.0251 0.0566 0.0323

50 0.0072 0.0072 0.0228 0.0228 0.0503 0.0357



(note: I have newest version of fPortfolio and dependent packages). or do you send me the same data you analyzed?


2. You didn't post your weights matrix. the weights for US equity are always zero in my run. Not sure if US equity is correct.
Portfolio Weights:
       US  World Commodities HedgeFund
1  0.0000 1.0000      0.0000    0.0000
13 0.0000 0.7476      0.0379    0.2145
25 0.0000 0.5034      0.0345    0.4621
37 0.0000 0.2592      0.0311    0.7098
50 0.0000 0.0000      0.0000    1.0000


3. Not sure if you can run frontierPlot on your output. The version of fPortfolio on my computer always generate error on the above output. So instead, I use the data set come with the pack for the point below.

4. with default constraint and specification, optimizer stops where it finds the optimal portfolio. (I believe it has default iteration of 50). Also, the frontier shape is like a laid-down U shape. so the output gives you the lower part first and moving up to the greater return, which is meaningful for return/risk relationship. (the last row on optimization output of your data makes sense).

So, make sure your data are correct (why does the US equity have zero weight?). check with frontierPlot to see if the output graph is "meaningful". to see the better picture, you may have to specify spec and constraints. There is nothing obviously wrong in your output, though.

best

Andy


--- On Sat, 6/13/09, ssmith88@umd.edu <ssmith88@umd.edu> wrote:

From: ssmith88@umd.edu <ssmith88@umd.edu>
Subject: Re: [R-SIG-Finance] portfolioFrontier nonsense
To: "Miled Ismael" <Ismael.Miled@casam.com>, "Diethelm Wuertz" <wuertz@itp.phys.ethz.ch>, r-sig-finance@stat.math.ethz.ch
Date: Saturday, June 13, 2009, 2:45 PM

The number of points doesn't change anything.  I think its a data issue, as the routine works fine for any of the sample data that comes with the package.

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