[R-SIG-Finance] error message from portfolioFrontier function

[thomas.chan.sf at boci-pru.com.hk]

Hello,

I have used the portfolioFrontier function a few times unsuccessfully using
the following codes.

> prets = as.timeSeries(prets)
> Spec = portfolioSpec()
> setNFrontierPoints(boxSpec) = 25
> pconstraints = c("minW[1:10] = 0.00","maxW[1:10] = .3")
> pFrontier = portfolioFrontier(data = prets, spec = Spec, constraints =
pconstraints)

Here is the consistent error message:

Execution stopped:
  The minimum risk portfolio could not be computed.
Possible Reason:
  Your portfolio constraints may be too restrictive.
Status Information:
  status=1 from solver solveRquadprog.
Error:
  returned from Rmetrics
The input file is attached. The time series is short. But the error
messages are the same even if I use a longer time series, multiply the
returns by 100, etc. (See attached file: prets.Rdata)Any suggestion would
be greatly appreciated! I am a new R user. It would be great if it is
something that I can handle.

Regards,

Thomas Chan
BOCI-Prudential Asset Management Limited


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  |"Brian G. Peterson" <brian at braverock.com>                                                                                               |
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  |Mark Gordon <mgordon at mcphedge.com>                                                                                                      |
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  >----------------------------------------------------------------------------------------------------------------------------------------|
  |alex.rudnev at gmail.com, thomas.chan.sf at boci-pru.com.hk                                                                                   |
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| Date:      |
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  |29/12/2010 05:42                                                                                                                        |
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| Subject:   |
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  |Re: [R-SIG-Finance] error message from portfolioFrontier function                                                                       |
  >----------------------------------------------------------------------------------------------------------------------------------------|





On 12/28/2010 03:27 PM, Mark Gordon wrote:
> Please see my posting on December 2, 2010 regarding this problem.  The
> problem is not with the FORTRAN code, it is with the R code.  I showed a
> work around that I use to be able to run minriskPortfolio.  How can we
> get the  package corrected?
>
> I apologize for responding off-list, but my prior posting appears to
> have been lost in the crowd.

While I am the maintainer of many R/Finance packages, I am neither the
author nor maintainer of the RMetrics packages.

So, the usual method is that you would send a well-formed email to the
individual listed as the 'Maintainer' of the package.

In this case,

Rmetrics Core Team <Rmetrics-core at r-project.org>

Regards,

   - Brian

> -----Original Message-----
> From: r-sig-finance-bounces at r-project.org
> [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Brian G.
> Peterson
> Sent: Friday, December 24, 2010 7:41 AM
> To: r-sig-finance at r-project.org
> Subject: Re: [R-SIG-Finance] error message from portfolioFrontier
> function
>
> On 12/24/2010 02:16 AM, thomas.chan.sf at boci-pru.com.hk wrote:
>>
>> Hello,
>>
>> I have tried to use the function portfolioFrontier a few times and
>> always get this error message:
>>
>> Execution stopped:
>>     The minimum risk portfolio could not be computed.
>> Possible Reason:
>>     Your portfolio constraints may be too restrictive.
>> Status Information:
>>     status=1 from solver solveRquadprog.
>> Error:
>>     returned from Rmetrics
>>
>> Could anyone give me a hint? Thanks.
>
> The error message *is* a hint, and likely describes the problem you are
> having precisely.
>
> You need to construct a minimal reproducible example, per the posting
> guide, so that others may reproduce your problem, and confirm whether
> the problem is in your constraints, as indicated by the error, or in the
> code.
>
> Regards,
>
>     - Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.


--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

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