I am working with a short return series -- 66 assets over 60 months.
When I run minvariancePortfolio with Constraints="maxW[1:66]=0.05" I get
a "constraints may be too restrictive error."  If I run with
Constraints="maxW[-61]=0.05", the I get a solution and that solution
happens to have zero weight on asset 61.  Also, if I choose a different
60 month period, the original problem might result in a solution.  Is
there a workaround to this problem?
 
In a related issue, I am running MCPportfolioFrontier with
"include.mvl=FALSE" and get stopped when the function calls
minvariancePortfolio.  Is there a workaround to this problem independent
of the my first question?
 
Mark Gordon

	[[alternative HTML version deleted]]

