<html><body><div style="color:#000; background-color:#fff; font-family:Helvetica Neue-Light, Helvetica Neue Light, Helvetica Neue, Helvetica, Arial, Lucida Grande, Sans-Serif;font-size:16px"><div id="yui_3_16_0_1_1433846574289_111962"><span id="yui_3_16_0_1_1433846574289_112060">Dear All,</span></div><div id="yui_3_16_0_1_1433846574289_111962"><span><br></span></div><div id="yui_3_16_0_1_1433846574289_111962"><span id="yui_3_16_0_1_1433846574289_112070">I need help. Below is my 17 Assets portfolio code and the error message and I recieve the following error; </span></div><div id="yui_3_16_0_1_1433846574289_111962"><span><br></span></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">Error in optimize(f = optim.callback, interval = c(ef$ret[max.sh - 1], : </div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> invalid 'xmin' value</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">In addition: Warning messages:</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">1: In min(interval) : no non-missing arguments to min; returning Inf</div><div id="yui_3_16_0_1_1433846574289_111962" class="" dir="ltr" style="">2: In max(interval) : no non-missing arguments to max; returning -Inf</div><div dir="ltr" class="" style="" id="yui_3_16_0_1_1433846574289_113028"><br class="" style=""></div><div id="yui_3_16_0_1_1433846574289_111962">How can I resolve this error?<br></div><div id="yui_3_16_0_1_1433846574289_111962"><br></div><div id="yui_3_16_0_1_1433846574289_111962">Attached also ie the data used.</div><div id="yui_3_16_0_1_1433846574289_111962"><span><br></span></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">return <- read.csv(file.choose(),header=T)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">head(return)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">exReturn <- read.csv(file.choose(),header=T)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">head(exReturn)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">exReturn <- exReturn[,-1]</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">head(exReturn)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""><br class="" style=""></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">#exReturn <- exReturn[,-5]</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">head(exReturn)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">Mean=sapply(exReturn,mean)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">SD=sapply(exReturn,sd)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">MSD=cbind(Mean,SD)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">MSD</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">MSD=write.csv(MSD,"1.MSD.csv")</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">EXCOV=cov(exReturn)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">head(EXCOV)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">muhat.vals = colMeans(exReturn)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">muhat.vals</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">std.vals=sapply(exReturn,sd)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">std.vals</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">cov=EXCOV</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">averet = as.matrix(exReturn)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">averet</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">rcov = var(exReturn)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">rcov</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">rcov=write.csv(rcov,"1rcov.csv")</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""><br class="" style=""></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">ret.mat = as.matrix(averet) </div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">ret.mat</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">std.vals=sapply(averet,sd)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">muhat.vals = colMeans(averet)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">muhat.vals</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">cov.mat = var(averet)<span class="" style="white-space:pre"> </span> </div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">cov.mat</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">beta.vals = cov.mat[,1]/cov.mat[1,1]<span class="" style="white-space:pre"> </span> <span class="" style="white-space:pre"> </span> <span class="" style="white-space:pre"> </span> <span class="" style="white-space:pre"> </span></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">alpha.vals = muhat.vals[-1] - beta.vals[-1]*muhat.vals["INDEX"]<span class="" style="white-space:pre"> </span> <span class="" style="white-space:pre"> </span> <span class="" style="white-space:pre"> </span> <span class="" style="white-space:pre"> </span> <span class="" style="white-space:pre"> </span> <span class="" style="white-space:pre"> </span> <span class="" style="white-space:pre"> </span></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">beta.vals<span class="" style="white-space:pre"> </span></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">alpha.vals<span class="" style="white-space:pre"> </span></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">beta = rcov[,1]/rcov[1,1]</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">beta</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">alpha.vals = muhat.vals[-1] - beta[-1]*muhat.vals["INDEX"]</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">alpha.vals</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">exReturn <- exReturn[,-1]</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">averet=matrix(c(-0.012651225, -0.033357407,<span class="" style="white-space:pre"> </span>-0.028047833,<span class="" style="white-space:pre"> </span>-0.025091085,<span class="" style="white-space:pre"> </span>-0.023927971,<span class="" style="white-space:pre"> </span>-0.027173414,<span class="" style="white-space:pre"> </span>-0.009168244,<span class="" style="white-space:pre"> </span>-0.042440445,<span class="" style="white-space:pre"> </span>-0.033081353,<span class="" style="white-space:pre"> </span>0.029539516,<span class="" style="white-space:pre"> </span>-0.032630073,<span class="" style="white-space:pre"> </span>-0.032380113,<span class="" style="white-space:pre"> </span>-0.015888686,<span class="" style="white-space:pre"> </span>0.011734781,<span class="" style="white-space:pre"> </span>-0.029664476,<span class="" style="white-space:pre"> </span>-0.026563804,<span class="" style="white-space:pre"> </span>-0.025612785,nrow=1))</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">rcov=matrix(c(0.021619201, 0.002879315,<span class="" style="white-space:pre"> </span>0.006796186,<span class="" style="white-space:pre"> </span>0.008391409,<span class="" style="white-space:pre"> </span>0.007303084,<span class="" style="white-space:pre"> </span>0.009429538,<span class="" style="white-space:pre"> </span>0.00573083,<span class="" style="white-space:pre"> </span>0.010721487,<span class="" style="white-space:pre"> </span>0.008871943,<span class="" style="white-space:pre"> </span>0.014952162,<span class="" style="white-space:pre"> </span>-0.003564898,<span class="" style="white-space:pre"> </span>0.007847258,<span class="" style="white-space:pre"> </span>0.007609481,<span class="" style="white-space:pre"> </span>0.002344691,<span class="" style="white-space:pre"> </span>0.004787781,<span class="" style="white-space:pre"> </span>0.010340954,<span class="" style="white-space:pre"> </span>0.004500699,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.002879315,<span class="" style="white-space:pre"> </span>0.014408062,<span class="" style="white-space:pre"> </span>0.002060355,<span class="" style="white-space:pre"> </span>0.005357955,<span class="" style="white-space:pre"> </span>0.004425948,<span class="" style="white-space:pre"> </span>0.006323749,<span class="" style="white-space:pre"> </span>0.003004733,<span class="" style="white-space:pre"> </span>0.007581034,<span class="" style="white-space:pre"> </span>0.0033889,<span class="" style="white-space:pre"> </span>0.006163729,<span class="" style="white-space:pre"> </span>0.00762899,<span class="" style="white-space:pre"> </span>0.006048443,<span class="" style="white-space:pre"> </span>0.006755555,<span class="" style="white-space:pre"> </span>0.006579867,<span class="" style="white-space:pre"> </span>0.001538254,<span class="" style="white-space:pre"> </span>0.00535515,<span class="" style="white-space:pre"> </span>0.00423201,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.006796186,<span class="" style="white-space:pre"> </span>0.002060355,<span class="" style="white-space:pre"> </span>0.015059936,<span class="" style="white-space:pre"> </span>0.00891385,<span class="" style="white-space:pre"> </span>0.005257287,<span class="" style="white-space:pre"> </span>0.008325,<span class="" style="white-space:pre"> </span>0.003395422,<span class="" style="white-space:pre"> </span>0.009127993,<span class="" style="white-space:pre"> </span>0.003691545,<span class="" style="white-space:pre"> </span>0.010585709,<span class="" style="white-space:pre"> </span>0.001536639,<span class="" style="white-space:pre"> </span>0.007490256,<span class="" style="white-space:pre"> </span>0.006343576,<span class="" style="white-space:pre"> </span>0.008617788,<span class="" style="white-space:pre"> </span>0.004600133,<span class="" style="white-space:pre"> </span>0.006585048,<span class="" style="white-space:pre"> </span>0.001828033,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.008391409,<span class="" style="white-space:pre"> </span>0.005357955,<span class="" style="white-space:pre"> </span>0.00891385,<span class="" style="white-space:pre"> </span>0.02791027,<span class="" style="white-space:pre"> </span>0.013095152,<span class="" style="white-space:pre"> </span>0.016164161,<span class="" style="white-space:pre"> </span>0.008256585,<span class="" style="white-space:pre"> </span>0.012325478,<span class="" style="white-space:pre"> </span>0.007432512,<span class="" style="white-space:pre"> </span>0.014322006,<span class="" style="white-space:pre"> </span>0.005322147,<span class="" style="white-space:pre"> </span>0.017576018,<span class="" style="white-space:pre"> </span>0.015498928,<span class="" style="white-space:pre"> </span>0.015339811,<span class="" style="white-space:pre"> </span>0.002455833,<span class="" style="white-space:pre"> </span>0.008407568,<span class="" style="white-space:pre"> </span>0.00653364,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.007303084,<span class="" style="white-space:pre"> </span>0.004425948,<span class="" style="white-space:pre"> </span>0.005257287,<span class="" style="white-space:pre"> </span>0.013095152,<span class="" style="white-space:pre"> </span>0.013055333,<span class="" style="white-space:pre"> </span>0.011190138,<span class="" style="white-space:pre"> </span>0.006119818,<span class="" style="white-space:pre"> </span>0.010232633,<span class="" style="white-space:pre"> </span>0.007234362,<span class="" style="white-space:pre"> </span>0.015678921,<span class="" style="white-space:pre"> </span>0.004607435,<span class="" style="white-space:pre"> </span>0.010380325,<span class="" style="white-space:pre"> </span>0.010131716,<span class="" style="white-space:pre"> </span>0.016960135,<span class="" style="white-space:pre"> </span>0.002122254,<span class="" style="white-space:pre"> </span>0.006599095,<span class="" style="white-space:pre"> </span>0.005009183,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.009429538,<span class="" style="white-space:pre"> </span>0.006323749,<span class="" style="white-space:pre"> </span>0.008325,<span class="" style="white-space:pre"> </span>0.016164161,<span class="" style="white-space:pre"> </span>0.011190138,<span class="" style="white-space:pre"> </span>0.021004977,<span class="" style="white-space:pre"> </span>0.006835194,<span class="" style="white-space:pre"> </span>0.015059864,<span class="" style="white-space:pre"> </span>0.010132806,<span class="" style="white-space:pre"> </span>0.013964084,<span class="" style="white-space:pre"> </span>0.004975523,<span class="" style="white-space:pre"> </span>0.012950363,<span class="" style="white-space:pre"> </span>0.013898241,<span class="" style="white-space:pre"> </span>0.015876255,<span class="" style="white-space:pre"> </span>0.002220538,<span class="" style="white-space:pre"> </span>0.005983095,<span class="" style="white-space:pre"> </span>0.006013043,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.00573083,<span class="" style="white-space:pre"> </span>0.003004733,<span class="" style="white-space:pre"> </span>0.003395422,<span class="" style="white-space:pre"> </span>0.008256585,<span class="" style="white-space:pre"> </span>0.006119818,<span class="" style="white-space:pre"> </span>0.006835194,<span class="" style="white-space:pre"> </span>0.01019401,<span class="" style="white-space:pre"> </span>0.005233176,<span class="" style="white-space:pre"> </span>0.002164439,<span class="" style="white-space:pre"> </span>0.009700644,<span class="" style="white-space:pre"> </span>0.003439956,<span class="" style="white-space:pre"> </span>0.009572046,<span class="" style="white-space:pre"> </span>0.00745657,<span class="" style="white-space:pre"> </span>0.0038553,<span class="" style="white-space:pre"> </span>0.00141304,<span class="" style="white-space:pre"> </span>0.00217913,<span class="" style="white-space:pre"> </span>0.002879114,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.010721487,<span class="" style="white-space:pre"> </span>0.007581034,<span class="" style="white-space:pre"> </span>0.009127993,<span class="" style="white-space:pre"> </span>0.012325478,<span class="" style="white-space:pre"> </span>0.010232633,<span class="" style="white-space:pre"> </span>0.015059864,<span class="" style="white-space:pre"> </span>0.005233176,<span class="" style="white-space:pre"> </span>0.026000738,<span class="" style="white-space:pre"> </span>0.010254279,<span class="" style="white-space:pre"> </span>0.02294916,<span class="" style="white-space:pre"> </span>0.003796425,<span class="" style="white-space:pre"> </span>0.010711662,<span class="" style="white-space:pre"> </span>0.012234193,<span class="" style="white-space:pre"> </span>0.016874167,<span class="" style="white-space:pre"> </span>0.003985803,<span class="" style="white-space:pre"> </span>0.010581223,<span class="" style="white-space:pre"> </span>0.003974903,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.008871943,<span class="" style="white-space:pre"> </span>0.0033889,<span class="" style="white-space:pre"> </span>0.003691545,<span class="" style="white-space:pre"> </span>0.007432512,<span class="" style="white-space:pre"> </span>0.007234362,<span class="" style="white-space:pre"> </span>0.010132806,<span class="" style="white-space:pre"> </span>0.002164439,<span class="" style="white-space:pre"> </span>0.010254279,<span class="" style="white-space:pre"> </span>0.015017643,<span class="" style="white-space:pre"> </span>0.014692357,<span class="" style="white-space:pre"> </span>-0.000736742,<span class="" style="white-space:pre"> </span>0.004488725,<span class="" style="white-space:pre"> </span>0.00821531,<span class="" style="white-space:pre"> </span>0.009904755,<span class="" style="white-space:pre"> </span>0.002407663,<span class="" style="white-space:pre"> </span>0.006487495,<span class="" style="white-space:pre"> </span>0.001534648,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.014952162,<span class="" style="white-space:pre"> </span>0.006163729,<span class="" style="white-space:pre"> </span>0.010585709,<span class="" style="white-space:pre"> </span>0.014322006,<span class="" style="white-space:pre"> </span>0.015678921,<span class="" style="white-space:pre"> </span>0.013964084,<span class="" style="white-space:pre"> </span>0.009700644,<span class="" style="white-space:pre"> </span>0.02294916,<span class="" style="white-space:pre"> </span>0.014692357,<span class="" style="white-space:pre"> </span>0.140827011,<span class="" style="white-space:pre"> </span>-0.001987559,<span class="" style="white-space:pre"> </span>0.013425049,<span class="" style="white-space:pre"> </span>0.017874043,<span class="" style="white-space:pre"> </span>0.104137758,<span class="" style="white-space:pre"> </span>0.023654807,<span class="" style="white-space:pre"> </span>0.028920937,<span class="" style="white-space:pre"> </span>0.0193293,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> -0.003564898,<span class="" style="white-space:pre"> </span>0.00762899,<span class="" style="white-space:pre"> </span>0.001536639,<span class="" style="white-space:pre"> </span>0.005322147,<span class="" style="white-space:pre"> </span>0.004607435,<span class="" style="white-space:pre"> </span>0.004975523,<span class="" style="white-space:pre"> </span>0.003439956,<span class="" style="white-space:pre"> </span>0.003796425,<span class="" style="white-space:pre"> </span>-0.000736742,<span class="" style="white-space:pre"> </span>-0.001987559,<span class="" style="white-space:pre"> </span>0.038080975,<span class="" style="white-space:pre"> </span>0.006497129,<span class="" style="white-space:pre"> </span>0.002908321,<span class="" style="white-space:pre"> </span>0.007966071,<span class="" style="white-space:pre"> </span>0.000112123,<span class="" style="white-space:pre"> </span>0.008822285,<span class="" style="white-space:pre"> </span>-0.0000721,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.007847258,<span class="" style="white-space:pre"> </span>0.006048443,<span class="" style="white-space:pre"> </span>0.007490256,<span class="" style="white-space:pre"> </span>0.017576018,<span class="" style="white-space:pre"> </span>0.010380325,<span class="" style="white-space:pre"> </span>0.012950363,<span class="" style="white-space:pre"> </span>0.009572046,<span class="" style="white-space:pre"> </span>0.010711662,<span class="" style="white-space:pre"> </span>0.004488725,<span class="" style="white-space:pre"> </span>0.013425049,<span class="" style="white-space:pre"> </span>0.006497129,<span class="" style="white-space:pre"> </span>0.026641993,<span class="" style="white-space:pre"> </span>0.015017809,<span class="" style="white-space:pre"> </span>0.01686881,<span class="" style="white-space:pre"> </span>0.00494474,<span class="" style="white-space:pre"> </span>0.0038542,<span class="" style="white-space:pre"> </span>0.007596542,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.007609481,<span class="" style="white-space:pre"> </span>0.006755555,<span class="" style="white-space:pre"> </span>0.006343576,<span class="" style="white-space:pre"> </span>0.015498928,<span class="" style="white-space:pre"> </span>0.010131716,<span class="" style="white-space:pre"> </span>0.013898241,<span class="" style="white-space:pre"> </span>0.00745657,<span class="" style="white-space:pre"> </span>0.012234193,<span class="" style="white-space:pre"> </span>0.00821531,<span class="" style="white-space:pre"> </span>0.017874043,<span class="" style="white-space:pre"> </span>0.002908321,<span class="" style="white-space:pre"> </span>0.015017809,<span class="" style="white-space:pre"> </span>0.019603086,<span class="" style="white-space:pre"> </span>0.013108311,<span class="" style="white-space:pre"> </span>0.003248666,<span class="" style="white-space:pre"> </span>0.000507636,<span class="" style="white-space:pre"> </span>0.004733304,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.002344691,<span class="" style="white-space:pre"> </span>0.006579867,<span class="" style="white-space:pre"> </span>0.008617788,<span class="" style="white-space:pre"> </span>0.015339811,<span class="" style="white-space:pre"> </span>0.016960135,<span class="" style="white-space:pre"> </span>0.015876255,<span class="" style="white-space:pre"> </span>0.0038553,<span class="" style="white-space:pre"> </span>0.016874167,<span class="" style="white-space:pre"> </span>0.009904755,<span class="" style="white-space:pre"> </span>0.104137758,<span class="" style="white-space:pre"> </span>0.007966071,<span class="" style="white-space:pre"> </span>0.01686881,<span class="" style="white-space:pre"> </span>0.013108311,<span class="" style="white-space:pre"> </span>0.186943324,<span class="" style="white-space:pre"> </span>0.023100834,<span class="" style="white-space:pre"> </span>0.028316641,<span class="" style="white-space:pre"> </span>0.025079888,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.004787781,<span class="" style="white-space:pre"> </span>0.001538254,<span class="" style="white-space:pre"> </span>0.004600133,<span class="" style="white-space:pre"> </span>0.002455833,<span class="" style="white-space:pre"> </span>0.002122254,<span class="" style="white-space:pre"> </span>0.002220538,<span class="" style="white-space:pre"> </span>0.00141304,<span class="" style="white-space:pre"> </span>0.003985803,<span class="" style="white-space:pre"> </span>0.002407663,<span class="" style="white-space:pre"> </span>0.023654807,<span class="" style="white-space:pre"> </span>0.000112123,<span class="" style="white-space:pre"> </span>0.00494474,<span class="" style="white-space:pre"> </span>0.003248666,<span class="" style="white-space:pre"> </span>0.023100834,<span class="" style="white-space:pre"> </span>0.021991544,<span class="" style="white-space:pre"> </span>0.009805182,<span class="" style="white-space:pre"> </span>0.010515751,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.0103409542,<span class="" style="white-space:pre"> </span>0.00535515,<span class="" style="white-space:pre"> </span>0.006585048,<span class="" style="white-space:pre"> </span>0.008407568,<span class="" style="white-space:pre"> </span>0.006599095,<span class="" style="white-space:pre"> </span>0.005983095,<span class="" style="white-space:pre"> </span>0.00217913,<span class="" style="white-space:pre"> </span>0.010581223,<span class="" style="white-space:pre"> </span>0.006487495,<span class="" style="white-space:pre"> </span>0.028920937,<span class="" style="white-space:pre"> </span>0.008822285,<span class="" style="white-space:pre"> </span>0.0038542,<span class="" style="white-space:pre"> </span>0.000507636,<span class="" style="white-space:pre"> </span>0.028316641,<span class="" style="white-space:pre"> </span>0.009805182,<span class="" style="white-space:pre"> </span>0.051615239,<span class="" style="white-space:pre"> </span>0.003343432,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> 0.004500699,<span class="" style="white-space:pre"> </span>0.00423201,<span class="" style="white-space:pre"> </span>0.001828033,<span class="" style="white-space:pre"> </span>0.00653364,<span class="" style="white-space:pre"> </span>0.005009183,<span class="" style="white-space:pre"> </span>0.006013043,<span class="" style="white-space:pre"> </span>0.002879114,<span class="" style="white-space:pre"> </span>0.003974903,<span class="" style="white-space:pre"> </span>0.001534648,<span class="" style="white-space:pre"> </span>0.0193293,<span class="" style="white-space:pre"> </span>-0.0000721,<span class="" style="white-space:pre"> </span>0.007596542,<span class="" style="white-space:pre"> </span>0.004733304,<span class="" style="white-space:pre"> </span>0.025079888,<span class="" style="white-space:pre"> </span>0.010515751,<span class="" style="white-space:pre"> </span>0.003343432,<span class="" style="white-space:pre"> </span>0.026693819),nrow=17,ncol=17)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""><br class="" style=""></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">library(tseries)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""><br class="" style=""></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">effFrontier = function (averet, cov.mat, nports = 10, shorts=T, wmax=1)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">{</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> mxret = max(abs(averet))</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> mnret = -mxret</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> n.assets = ncol(averet)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> reshigh = rep(wmax,n.assets)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> if( shorts )</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> {</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> reslow = rep(-wmax,n.assets)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> } else {</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> reslow = rep(0,n.assets)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> }</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> min.rets = seq(mnret, mxret, len = nports)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> vol = rep(NA, nports)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> ret = rep(NA, nports)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> for (k in 1:nports)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> {</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> port.sol = NULL</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> try(port.sol <- portfolio.optim(x=averet, pm=min.rets[k], covmat=cov.mat,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> reshigh=reshigh, reslow=reslow,shorts=shorts),silent=T)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> if ( !is.null(port.sol) )</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> {</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> vol[k] = sqrt(as.vector(port.sol$pw %*%cov.mat %*% port.sol$pw))</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> ret[k] = averet %*% port.sol$pw</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> }</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> }</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> return(list(vol = vol, ret = ret))</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">}</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""><br class="" style=""></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">maxSharpe = function (averet,cov.mat, shorts=T, wmax = 1)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">{</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> optim.callback = function(param,averet,cov.mat,reshigh,reslow,shorts)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> {</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> port.sol = NULL</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> try(port.sol <- portfolio.optim(x=averet, pm=param, covmat=cov.mat,</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> reshigh=reshigh, reslow=reslow, shorts=shorts), silent = T)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> if (is.null(port.sol)) {</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> ratio = 10^9</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> } else {</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> m.return = averet %*% port.sol$pw</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> m.risk = sqrt(as.vector(port.sol$pw %*% cov.mat %*% port.sol$pw))</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> ratio = -m.return/m.risk</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> assign("w",port.sol$pw,inherits=T)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> }</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> return(ratio)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> }</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> ef = effFrontier(averet=averet, cov.mat=cov.mat, shorts=shorts, wmax=wmax, nports = 10)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> n = ncol(averet)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> reshigh = rep(wmax,n)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> if( shorts ) {</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> reslow = -reshigh</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> } else {</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> reslow = rep(0,n)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> }</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> max.sh = which.max(ef$ret/ef$vol)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> w = rep(0,ncol(averet))</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> xmin = optimize(f=optim.callback, interval=c(ef$ret[max.sh-1], upper=ef$ret[max.sh+1]),</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> averet=averet,rcov=cov.mat,reshigh=reshigh,reslow=reslow,shorts=shorts)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> return(w)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""> </div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">}</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""><br class="" style=""></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""><br class="" style=""></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""><br class="" style=""></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">weights <- maxSharpe(averet,cov.mat,shorts=F)</div><div id="yui_3_16_0_1_1433846574289_111962" class="" style=""><br class="" style=""></div><div id="yui_3_16_0_1_1433846574289_111962"></div><div id="yui_3_16_0_1_1433846574289_111962" class="" style="">weights</div><div dir="ltr" class="" style="" id="yui_3_16_0_1_1433846574289_113058"><br class="" style=""></div><div dir="ltr" class="" style="" id="yui_3_16_0_1_1433846574289_113059"><br></div><div></div><div id="yui_3_16_0_1_1433846574289_112047"> </div><div id="yui_3_16_0_1_1433846574289_112072"><div id="yui_3_16_0_1_1433846574289_112071">Thank You and Best Regards,
<br>
<br>Emeka .I. A
<br>Integrity is work your talk don't talk your work</div></div></div></body></html>