Hi John,

See responses inline.


On Wed, Feb 5, 2014 at 8:36 PM, John Kaprich <jkaprich@gmail.com> wrote:

> I am excited about the potential benefits the PortfolioAnalytics package
> provides, but am new to working with the package.
>
> My objective is to calculate  a constrained risk budget for a given CVaR
> level. When I run the code below I get the following error:
>
> Leverage constraint min_sum and max_sum are restrictive, consider relaxing.
> e.g. 'full_investment' constraint should be min_sum=0.99 and max_sum=1.01
> Error
> in seq.default(from = round(min, rounding), to = round(max, rounding), :
> 'from' cannot be NA, NaN or infinite
>
>
> Aren't the defaults for full_investment (min_sum = 0.99 and max_sum =
> 1.01) what is being stated in the error message? Or is my objective
> too restrictive?


It depends on how the constraint was added.
add.constraint(portfolio, "leverage") # defaults to min_sum=0.99 and
max_sum=1.01
add.constraint(portfolio, "full_investment") # sets min_sum=1 and max_sum=1


> Also, is the Error (seq.default) related to the
> full_investment constraint?
>

I suspect that you either do not have box constraints or your box
constraints are -Inf  to Inf. We use generatesequence() to generate a set
of weights for random portfolios. Even if you are using DEoptim, we
generate random portfolios as the initial population for DEoptim. You can
either add box constraints or specify a weight_seq in portfolio.spec().

# This is how you would add a weight_seq for a long only portfolio
# Adding long only box constraints would implicitly do the same thing
init.portf <- portfolio.spec(funds, weight_seq=generatesequence(min=0,
max=1, by=0.002))


>
>
> Also, I read a post in 2010 that stated group constraints were not
> compatible with DEoptim. Is this still the case?
>

Group constraints were added during the GSoC 2013 project and are now
supported by DEoptim.


>
>
> Appreciate any help you may be able to provide me and thanks for the
> great package.
>

You're welcome, glad to help.

Regards,
Ross



>
>
>
> Sincerely,
>
>
>
> John E. Kaprich
>
> R version 3.0.2 (2013-09-25) -- "Frisbee Sailing"
> Copyright (C) 2013 The R Foundation for Statistical Computing
> Platform: x86_64-w64-mingw32/x64 (64-bit)
>
> R is free software and comes with ABSOLUTELY NO WARRANTY.
> You are welcome to redistribute it under certain conditions.
> Type 'license()' or 'licence()' for distribution details.
>
> R is a collaborative project with many contributors.
> Type 'contributors()' for more information and
> 'citation()' on how to cite R or R packages in publications.
>
> Type 'demo()' for some demos, 'help()' for on-line help, or
> 'help.start()' for an HTML browser interface to help.
> Type 'q()' to quit R.
>
> [Workspace loaded from ~/RStudio Working Directory/.RData]
> > library("doParallel", lib.loc="C:/Program
> Files/R/R-3.0.2/library")Loading required package: foreachforeach: simple,
> scalable parallel programming from Revolution Analytics
> Use Revolution R for scalability, fault tolerance and
> more.http://www.revolutionanalytics.comLoading required package:
> iteratorsLoading required package: parallel> library("DEoptim",
> lib.loc="C:/Program Files/R/R-3.0.2/library")
> DEoptim package
> Differential Evolution algorithm in R
> Authors: D. Ardia, K. Mullen, B. Peterson and J. Ulrich
> > library("PortfolioAnalytics", lib.loc="C:/Program
> Files/R/R-3.0.2/library")Loading required package: zoo
> Attaching package: 'zoo'
> The following objects are masked from 'package:base':
>
>     as.Date, as.Date.numeric
> Loading required package: xtsLoading required package: PerformanceAnalytics
> Package PerformanceAnalytics (1.1.0) loaded.
> Econometric tools for performance and risk analysis.
> (c) 2004-2012 Peter Carl, Brian G. Peterson. License:
> GPLhttp://r-forge.r-project.org/projects/returnanalytics/
>
> Attaching package: 'PerformanceAnalytics'
> The following object is masked from 'package:graphics':
>
>     legend
> > library("timeSeries", lib.loc="C:/Program
> Files/R/R-3.0.2/library")Loading required package: timeDate
> Attaching package: 'timeDate'
> The following objects are masked from 'package:PerformanceAnalytics':
>
>     kurtosis, skewness
>
> Attaching package: 'timeSeries'
> The following object is masked from 'package:zoo':
>
>     time<-
> > > ### Import Pricing Data into R ###> > Pricing <-
> read.table("RDataAA.txt", header=TRUE, sep="\t", colClasses =
> c("character", "numeric",
> "numeric","numeric","numeric","numeric","numeric","numeric","numeric","numeric","numeric",
> "numeric"))> PricingTS <- timeSeries (Pricing[-1], Pricing[[1]], format =
> "%Y/%m/%d")> is.timeSeries(PricingTS)[1] TRUE> > ### Convert Pricing Data
> into Percentage Returns ###> > AAReturns <- diff(log(PricingTS))> AARet <-
> AAReturns [-1,]> is.timeSeries(AARet)[1] TRUE>
>
>
>
> > summary(AARet)    LCEquity             SCEquity            DevFEquity
>        DevFSCEquity
>  Min.   :-0.0694875   Min.   :-0.0910853   Min.   :-7.774e-02   Min.
> :-0.0932107
>  1st Qu.:-0.0043533   1st Qu.:-0.0059912   1st Qu.:-6.413e-03   1st
> Qu.:-0.0060075
>  Median : 0.0006532   Median : 0.0009359   Median : 1.117e-03   Median
> : 0.0007584
>  Mean   : 0.0004196   Mean   : 0.0004097   Mean   : 5.035e-05   Mean
> : 0.0001602
>  3rd Qu.: 0.0057196   3rd Qu.: 0.0081454   3rd Qu.: 7.791e-03   3rd
> Qu.: 0.0075388
>  Max.   : 0.0438853   Max.   : 0.0645193   Max.   : 6.519e-02   Max.
> : 0.0801522
>     EMEquity              CoreFI                HYFI
> Preferred
>  Min.   :-0.0870541   Min.   :-1.252e-02   Min.   :-4.344e-02   Min.
> :-0.0999697
>  1st Qu.:-0.0088591   1st Qu.:-1.267e-03   1st Qu.:-2.484e-03   1st
> Qu.:-0.0017787
>  Median : 0.0004951   Median : 1.791e-04   Median : 0.000e+00   Median
> : 0.0002802
>  Mean   :-0.0001952   Mean   : 2.672e-05   Mean   :-3.520e-06   Mean
> :-0.0000758
>  3rd Qu.: 0.0083477   3rd Qu.: 1.372e-03   3rd Qu.: 2.535e-03   3rd
> Qu.: 0.0020096
>  Max.   : 0.0605309   Max.   : 8.360e-03   Max.   : 2.850e-02   Max.
> : 0.0683953
>    BankLoans            EMSovDebt           Commodities
>  Min.   :-4.007e-02   Min.   :-2.956e-02   Min.   :-0.0562138
>  1st Qu.:-8.200e-04   1st Qu.:-1.923e-03   1st Qu.:-0.0055469
>  Median : 0.000e+00   Median : 3.681e-04   Median : 0.0000000
>  Mean   :-2.058e-05   Mean   : 3.062e-05   Mean   :-0.0004546
>  3rd Qu.: 1.205e-03   3rd Qu.: 2.383e-03   3rd Qu.: 0.0055249
>  Max.   : 1.810e-02   Max.   : 2.458e-02   Max.   : 0.0339187
>
>
>
> > ### Develop Portfolio Constraints ###> > AAFrontier <-
> portfolio.spec(assets=colnames(AARet[,1:11]))> AAFrontier <-
> add.constraint(AAFrontier, type="full_investment", enabled = TRUE)>
> AAFrontier <- add.constraint(AAFrontier, type = "group",+ groups =
> list(Equity=c(1,2,3,4,5),+ Foreign = c(3,4,5,10),+ High_Yield = c(7,9)),+
> group_min = c(0,0,0),+ group_max = c(0.2,0.15,0.15))> > ### Develop
> Portfolio Objectives ###> > AAFrontier <- add.objective(AAFrontier, type =
> "risk_budget",+ name = "CVaR", enabled = TRUE,+ min_prisk=-Inf,+
> max_prisk=0.3)> > ### Optimize Portfolio ###> > AAFrontierDE <-
> optimize.portfolio(AARet[,1:11], AAFrontier,+ optimize_method=c("DEoptim"),
> search_size = 2000, trace=FALSE)Leverage constraint min_sum and max_sum are
> restrictive,
>               consider relaxing. e.g. 'full_investment' constraint
> should be min_sum=0.99 and max_sum=1.01Error in seq.default(from =
> round(min, rounding), to = round(max, rounding),  :
>   'from' cannot be NA, NaN or infinite
>
>
>
> > PricingTSGMT
>            LCEquity SCEquity DevFEquity DevFSCEquity EMEquity CoreFI
> HYFI Preferred BankLoans
> 2011-03-03    74.21    82.80      61.79        43.84    46.85 104.74
> 40.63     39.42     25.13
> 2011-03-04    73.67    82.44      61.23        43.68    46.90 105.02
> 40.49     39.48     25.08
> 2011-03-07    73.05    81.09      60.64        43.48    46.24 105.07
> 40.57     39.32     25.06
> 2011-03-08    73.67    82.41      60.83        43.46    46.86 104.99
> 40.53     39.43     25.01
> 2011-03-09    73.55    82.08      60.85        43.43    46.95 105.24
> 40.39     39.47     25.06
> 2011-03-10    72.23    79.97      59.34        42.29    45.56 105.61
> 40.23     39.39     25.03
> 2011-03-11    72.70    80.18      59.34        42.23    46.03 105.63
> 40.28     39.45     24.99
> 2011-03-14    72.30    79.75      58.28        41.30    46.30 105.69
> 40.14     39.39     24.92
> 2011-03-15    71.51    79.04      57.06        40.21    45.53 105.73
> 39.87     39.32     24.59
> 2011-03-16    70.25    78.25      55.29        39.32    44.60 106.03
> 39.58     39.22     24.53
> 2011-03-17    71.08    78.42      57.13        40.49    45.15 105.96
> 40.02     39.19     24.67
> 2011-03-18    71.36    79.46      57.92        41.53    45.23 105.92
> 40.23     39.34     24.83
> 2011-03-21    72.46    81.30      59.35        42.66    46.10 105.67
> 40.45     39.41     24.88
> 2011-03-22    72.21    80.87      59.18        42.50    46.24 105.68
> 40.46     39.45     24.90
> 2011-03-23    72.40    81.12      59.25        42.46    46.85 105.63
> 40.39     39.49     24.94
> 2011-03-24    72.81    81.51      60.04        43.06    47.39 105.34
> 40.42     39.47     24.97
> 2011-03-25    73.08    82.22      59.38        42.61    47.34 105.25
> 40.40     39.53     25.02
> 2011-03-28    72.90    82.04      59.35        42.59    47.10 105.20
> 40.40     39.54     25.04
> 2011-03-29    73.38    82.81      59.66        42.85    47.64 105.07
> 40.42     39.53     25.06
> 2011-03-30    73.91    83.88      60.37        43.34    48.25 105.25
> 40.52     39.61     25.11
> 2011-03-31    73.87    84.17      60.08        43.34    48.67 105.13
> 40.51     39.65     25.12
> 2011-04-01    74.19    84.54      60.65        43.43    49.45 104.96
> 40.21     39.57     25.10
> 2011-04-04    74.25    84.73      60.73        43.64    49.87 105.13
> 40.51     39.57     25.19
> 2011-04-05    74.28    85.19      60.58        43.43    49.77 104.91
> 40.40     39.66     25.19
> 2011-04-06    74.46    85.38      61.08        43.59    50.04 104.60
> 40.50     39.65     25.24
> 2011-04-07    74.30    84.87      60.78        43.31    49.99 104.76
> 40.56     39.53     25.28
> 2011-04-08    74.00    83.98      61.28        43.67    50.04 104.56
> 40.51     39.58     25.29
> 2011-04-11    73.77    83.23      61.16        43.58    49.45 104.66
> 40.46     39.48     25.31
> 2011-04-12    73.20    82.14      60.59        43.09    48.52 105.06
> 40.34     39.39     25.28
> 2011-04-13    73.23    82.25      60.77        43.22    48.92 105.17
> 40.56     39.38     25.31
> 2011-04-14    73.27    82.63      61.04        43.70    49.07 105.07
> 40.41     39.37     25.30
> 2011-04-15    73.58    83.51      60.95        43.71    49.14 105.45
> 40.49     39.38     25.27
> 2011-04-18    72.73    82.13      59.70        43.00    47.90 105.63
> 40.29     39.32     25.22
> 2011-04-19    73.11    82.15      60.14        43.39    48.59 105.84
> 40.46     39.47     25.25
> 2011-04-20    74.18    83.83      61.67        44.31    49.74 105.69
> 40.57     39.58     25.28
> 2011-04-21    74.56    84.45      62.07        44.64    50.18 105.76
> 40.71     39.67     25.28
> 2011-04-25    74.48    84.34      62.07        44.77    49.77 105.82
> 40.67     39.74     25.27
> 2011-04-26    75.13    85.18      62.55        44.99    50.20 106.21
> 40.75     39.82     25.26
> 2011-04-27    75.59    85.69      63.33        45.45    50.11 106.12
> 40.73     39.90     25.26
> 2011-04-28    75.83    86.08      63.76        45.82    49.70 106.37
> 40.81     39.96     25.28
> 2011-04-29    76.05    86.39      63.46        45.89    50.00 106.46
> 40.90     40.06     25.28
> 2011-05-02    75.92    85.38      63.87        45.85    50.01 106.20
> 40.64     39.78     25.28
> 2011-05-03    75.59    84.30      63.35        45.44    48.90 106.23
> 40.66     39.83     25.27
> 2011-05-04    75.05    83.21      62.81        45.07    48.09 106.43
> 40.63     39.87     25.27
> 2011-05-05    74.47    82.83      61.57        44.26    47.63 106.67
> 40.49     39.77     25.25
> 2011-05-06    74.74    83.27      61.60        44.33    48.25 106.66
> 40.72     39.82     25.27
> 2011-05-09    75.10    84.24      62.04        44.71    48.34 106.78
> 40.71     39.90     25.28
> 2011-05-10    75.76    85.53      62.63        45.24    48.91 106.59
> 40.78     40.00     25.28
> 2011-05-11    74.99    83.95      61.37        44.41    47.83 106.78
> 40.71     40.02     25.27
> 2011-05-12    75.33    84.69      61.57        44.41    47.97 106.62
> 40.74     40.06     25.25
> 2011-05-13    74.72    83.51      60.61        43.66    46.92 106.79
> 40.63     40.11     25.21
> 2011-05-16    74.24    82.29      60.50        43.54    46.85 107.02
> 40.69     40.06     25.20
> 2011-05-17    74.16    82.03      60.63        43.52    47.00 107.14
> 40.77     40.10     25.20
> 2011-05-18    74.86    83.29      61.00        43.77    47.76 106.97
> 40.84     40.09     25.19
> 2011-05-19    75.01    83.47      61.35        43.88    47.45 106.89
> 40.80     40.12     25.17
> 2011-05-20    74.50    82.86      60.48        43.53    47.07 106.99
> 40.81     40.09     25.16
> 2011-05-23    73.56    81.37      59.08        42.50    46.09 107.08
> 40.66     40.03     25.14
> 2011-05-24    73.53    80.98      59.42        42.78    46.55 107.12
> 40.52     40.03     25.13
> 2011-05-25    73.78    82.00      59.80        43.00    46.65 107.10
> 40.57     40.04     25.09
> 2011-05-26    74.16    83.08      60.36        43.42    47.25 107.33
> 40.57     40.01     25.05
> 2011-05-27    74.50    83.65      60.80        43.86    47.75 107.43
> 40.77     40.07     25.05
> 2011-05-31    75.22    84.84      62.06        44.77    48.53 107.46
> 40.88     40.09     25.08
> 2011-06-01    73.56    82.11      60.59        43.90    47.66 107.61
> 40.31     39.76     25.10
> 2011-06-02    73.49    82.08      60.90        44.31    48.11 107.18
> 40.32     39.64     25.09
> 2011-06-03    72.72    80.88      60.93        44.29    47.87 107.32
> 40.05     39.61     25.06
> 2011-06-06    71.93    79.55      60.14        43.82    47.10 107.34
> 39.96     39.51     25.03
> 2011-06-07    71.93    79.74      60.69        44.09    47.47 107.56
> 40.02     39.51     25.01
> 2011-06-08    71.59    78.85      59.91        43.51    47.13 107.65
> 39.88     39.39     24.98
> 2011-06-09    72.07    79.27      60.53        43.90    47.50 107.49
> 39.92     39.36     24.97
> 2011-06-10    71.06    78.00      59.13        42.95    46.47 107.48
> 39.52     39.30     24.92
> 2011-06-13    71.06    77.78      59.22        42.94    46.39 107.34
> 39.41     39.27     24.88
> 2011-06-14    71.99    79.45      60.27        43.54    47.09 107.05
> 39.73     39.38     24.93
> 2011-06-15    70.75    78.03      58.29        42.32    46.08 107.32
> 39.52     39.23     24.84
> 2011-06-16    70.86    78.21      58.09        41.97    45.73 107.39
> 38.78     38.86     24.74
> 2011-06-17    71.05    78.23      58.66        42.36    45.79 107.49
> 39.38     39.11     24.72
> 2011-06-20    71.42    78.95      58.59        42.05    45.72 107.35
> 39.49     39.14     24.73
> 2011-06-21    72.44    80.66      59.86        42.91    46.56 107.45
> 39.75     39.25     24.76
> 2011-06-22    72.03    80.04      58.15        42.17    45.64 107.38
> 39.42     39.28     24.74
> 2011-06-23    71.87    80.35      57.65        41.87    45.58 107.73
> 39.59     39.27     24.62
> 2011-06-24    71.05    79.94      57.10        41.34    45.50 107.63
> 39.45     39.22     24.70
> 2011-06-27    71.61    80.56      57.57        41.57    46.03 107.44
> 39.47     39.19     24.69
> 2011-06-28    72.57    81.81      58.26        42.18    46.66 107.01
> 39.68     39.44     24.72
> 2011-06-29    73.22    82.20      59.28        42.91    47.09 106.69
> 39.93     39.50     24.75
> 2011-06-30    73.89    82.80      60.14        43.63    47.60 106.67
> 40.22     39.66     24.83
> 2011-07-01    74.98    84.09      60.80        44.05    48.16 106.40
> 40.28     39.47     24.88
> 2011-07-05    74.62    84.04      60.44        43.94    48.14 106.81
> 40.24     39.52     24.92
> 2011-07-06    74.76    84.38      60.06        43.68    47.82 106.87
> 40.16     39.49     24.93
> 2011-07-07    75.54    85.65      60.58        44.06    48.48 106.57
> 40.39     39.57     24.85
> 2011-07-08    75.02    85.13      59.83        43.66    47.93 107.12
> 40.35     39.55     24.90
> 2011-07-11    73.60    83.32      58.02        42.37    46.59 107.41
> 39.96     39.36     24.90
> 2011-07-12    73.28    82.85      57.63        42.04    46.12 107.50
> 39.86     39.23     24.84
> 2011-07-13    73.54    83.59      58.49        42.87    46.87 107.71
> 40.10     39.35     24.87
> 2011-07-14    73.01    82.26      57.98        42.55    46.37 107.44
> 40.15     39.26     24.89
> 2011-07-15    73.42    82.81      58.18        42.66    46.66 107.59
> 40.11     39.30     24.83
> 2011-07-18    72.74    81.48      57.32        41.90    46.12 107.43
> 39.96     39.04     24.77
> 2011-07-19    73.96    83.32      58.18        42.40    46.79 107.66
> 40.19     39.08     24.81
> 2011-07-20    73.93    83.18      58.87        42.80    46.93 107.49
> 40.23     39.15     24.82
> 2011-07-21    74.92    83.94      60.12        43.56    47.68 107.32
> 40.45     39.31     24.82
> 2011-07-22    74.99    84.05      60.18        43.66    47.65 107.55
> 40.44     39.37     24.83
> 2011-07-25    74.55    83.06      59.80        43.67    47.55 107.24
> 40.28     39.19     24.81
>            EMSovDebt Commodities
> 2011-03-03     26.27       50.97
> 2011-03-04     26.29       51.29
> 2011-03-07     26.36       51.06
> 2011-03-08     26.43       50.70
> 2011-03-09     26.47       50.41
> 2011-03-10     26.44       49.65
> 2011-03-11     26.46       49.38
> 2011-03-14     26.48       49.35
> 2011-03-15     26.32       47.71
> 2011-03-16     26.15       47.75
> 2011-03-17     26.26       49.36
> 2011-03-18     26.33       49.99
> 2011-03-21     26.38       50.11
> 2011-03-22     26.33       50.50
> 2011-03-23     26.39       50.75
> 2011-03-24     26.40       50.87
> 2011-03-25     26.40       51.17
> 2011-03-28     26.32       50.33
> 2011-03-29     26.34       50.39
> 2011-03-30     26.37       50.36
> 2011-03-31     26.42       51.35
> 2011-04-01     26.52       51.49
> 2011-04-04     26.50       51.74
> 2011-04-05     26.51       51.72
> 2011-04-06     26.56       51.93
> 2011-04-07     26.55       51.91
> 2011-04-08     26.59       52.71
> 2011-04-11     26.56       52.10
> 2011-04-12     26.54       51.11
> 2011-04-13     26.55       51.25
> 2011-04-14     26.55       51.54
> 2011-04-15     26.47       51.61
> 2011-04-18     26.41       51.48
> 2011-04-19     26.46       51.77
> 2011-04-20     26.52       52.34
> 2011-04-21     26.51       52.77
> 2011-04-25     26.50       52.67
> 2011-04-26     26.51       52.53
> 2011-04-27     26.60       52.68
> 2011-04-28     26.63       52.41
> 2011-04-29     26.71       53.11
> 2011-05-02     26.77       52.47
> 2011-05-03     26.85       52.09
> 2011-05-04     26.88       51.04
> 2011-05-05     26.88       48.25
> 2011-05-06     26.92       48.22
> 2011-05-09     27.01       49.32
> 2011-05-10     27.05       49.67
> 2011-05-11     27.07       48.14
> 2011-05-12     27.13       48.23
> 2011-05-13     26.96       48.23
> 2011-05-16     27.02       47.90
> 2011-05-17     27.04       48.09
> 2011-05-18     27.06       49.02
> 2011-05-19     27.07       48.51
> 2011-05-20     27.08       48.99
> 2011-05-23     27.01       48.41
> 2011-05-24     26.96       48.75
> 2011-05-25     27.02       49.42
> 2011-05-26     26.96       49.51
> 2011-05-27     26.96       49.99
> 2011-05-31     27.17       50.33
> 2011-06-01     27.08       49.73
> 2011-06-02     27.10       50.15
> 2011-06-03     27.14       50.15
> 2011-06-06     27.13       49.62
> 2011-06-07     27.13       49.87
> 2011-06-08     27.17       50.31
> 2011-06-09     27.17       50.40
> 2011-06-10     27.19       49.92
> 2011-06-13     27.16       49.30
> 2011-06-14     27.17       49.58
> 2011-06-15     27.03       48.69
> 2011-06-16     26.88       48.21
> 2011-06-17     26.90       47.95
> 2011-06-20     26.92       47.90
> 2011-06-21     27.05       48.25
> 2011-06-22     27.02       47.94
> 2011-06-23     27.00       47.18
> 2011-06-24     26.99       46.77
> 2011-06-27     27.03       46.58
> 2011-06-28     27.08       47.36
> 2011-06-29     27.08       47.96
> 2011-06-30     27.09       47.23
> 2011-07-01     27.18       47.21
> 2011-07-05     27.21       47.94
> 2011-07-06     27.12       47.79
> 2011-07-07     27.13       48.53
> 2011-07-08     27.18       48.42
> 2011-07-11     27.18       48.21
> 2011-07-12     27.08       48.77
> 2011-07-13     27.14       49.58
> 2011-07-14     27.21       49.27
> 2011-07-15     27.09       49.65
> 2011-07-18     27.08       49.47
> 2011-07-19     27.02       49.70
> 2011-07-20     27.13       49.63
> 2011-07-21     27.16       49.41
> 2011-07-22     27.17       49.83
> 2011-07-25     27.19       49.70
>
>         [[alternative HTML version deleted]]
>
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