Hi Todd,
I encountered the same problem when trying to optimize portfolios with 
fPortfolio. Obviously fPortfolio uses unconstraint optimization if the 
constraints and targets are set too narrow (e.g. given target return can't 
be achived with the given asset classes and constraints). I didn't find a 
solution but at least you can use getStatus() on your portfolio. If 
constraints are violated the status is set to 1.

rds

Matthias 




Von:
ctchadwick@hotmail.com
An:
r-sig-finance@stat.math.ethz.ch
Datum:
22.02.2010 05:54
Betreff:
[R-SIG-Finance] Optimization Constraint Violations
Gesendet von:
r-sig-finance-bounces@stat.math.ethz.ch



Hi all,

 

I'm stumped with a portfolio optimization issue.  I'm utilizing the
fPortfolio package (although I know this issue is more general) and I am
trying to perform a vanilla MV optimization using both a weighting
constraint (box constrained and sum to unity) and target return
specification (specifically using the "efficientPortfolio()" wrapper
function).  My puzzle is that sometimes the box constraints are violated 
and
I am curious as to either what else I need to consider (I suspect the 
issue
involves the target return spec) or how to force the constraints to be
honored. 

 

Sorry no data examples to provide, but I hope that the experience of the
collective can shed some light for a rookie.

 

Todd


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