
In the code below (fPortfolio Version 2110.79, R 2.11.1), if min weights (min.weights <- c(rep(0, 5), 0.2)) are 0, portfolioFrontier function works fine.  But when, for example, min weights increase (min.weights <- c(rep(0.1, 5), 0.2)), a portfolioFrontier call returns the following error: 
 
Execution stopped:
  The minimum risk portfolio could not be computed.
Possible Reason:
  Your portfolio constraints may be too restrictive.
 
It seems that the minvariancePortfolio function (inside portfolioFrontier) attempts to minimize risk subject to a return constraint that is not feasible.  Or am I missing something?  
Any suggestions will be appreciated. 
 
 
library(fPortfolio)
x <- SMALLCAP.RET[,1:6]
spec <- portfolioSpec()
setNFrontierPoints(spec) <- 50
assets.num <- 1:ncol(x)
min.weights <- c(rep(0.1, 5), 0.2)
constraints.min <- paste("minW[", assets.num, "]=", min.weights, sep = "")
max.weights <- c(rep(1, 5), 0.4)
constraints.max <- paste("maxW[", assets.num, "]=", max.weights, sep = "")
constraints <- c(constraints.min, constraints.max)
frontier <- portfolioFrontier(x, spec = spec, constraints = constraints)
 
Maciek  		 	   		  
	[[alternative HTML version deleted]]

