From neuro3000 at hotmail.com  Wed Jun  1 00:51:43 2005
From: neuro3000 at hotmail.com (=?iso-8859-1?B?TmV1cm8gTGVTdXBlckjpcm9z?=)
Date: Wed Jun  1 00:51:54 2005
Subject: [Rd] Problem with fPortfolio
Message-ID: <BAY104-F25D923DC4F415E15250E45AF040@phx.gbl>

Hello,

I hesitate to call this a bug, because I could have forgotten something 
important, but the MarkowitzPortfolio example in fPortfolio does not work 
for me.  Here's my code:

>  library(fPortfolio)
>
>xmpPortfolio("\nStart: Load monthly data set of returns > ")
>         data(berndtInvest)
>         # Exclude Date, Market and Interest Rate columns from data frame,
>         # then multiply by 100 for percentual returns ...
>         berndtAssets = berndtInvest[, -c(1, 11, 18)]
>         rownames(berndtAssets) = berndtInvest[, 1]
>         head(berndtAssets)
         CITCRP  CONED CONTIL DATGEN    DEC  DELTA GENMIL GERBER    IBM  
MOBIL  PANAM   PSNH  TANDY TEXACO
1-Jan-78 -0.115 -0.079 -0.129 -0.084 -0.100 -0.028 -0.099 -0.048 -0.029 
-0.046  0.025 -0.008 -0.075 -0.054
1-Feb-78 -0.019 -0.003  0.037 -0.097 -0.063 -0.033  0.018  0.160 -0.043 
-0.017 -0.073 -0.025 -0.004 -0.010
1-Mar-78  0.059  0.022  0.003  0.063  0.010  0.070 -0.023 -0.036 -0.063  
0.049  0.184  0.026  0.124  0.015
1-Apr-78  0.127 -0.005  0.180  0.179  0.165  0.150  0.046  0.004  0.130  
0.077  0.089 -0.008  0.055  0.000
1-May-78  0.005 -0.014  0.061  0.052  0.038 -0.031  0.063  0.046 -0.018 
-0.011  0.082  0.019  0.176 -0.029
1-Jun-78  0.007  0.034 -0.059 -0.023 -0.021  0.023  0.008  0.028 -0.004 
-0.043  0.019  0.032 -0.014 -0.025
          WEYER
1-Jan-78 -0.116
1-Feb-78 -0.135
1-Mar-78  0.084
1-Apr-78  0.144
1-May-78 -0.031
1-Jun-78  0.005
>
>      ## Markowitz Portfolios:
>         myPortfolio = portfolioMarkowitz(berndtAssets, targetReturn = 
>20/100/12)
Error in portfolioMarkowitz(berndtAssets, targetReturn = 20/100/12) :
        Object "pfolio" not found

>version
         _
platform i386-pc-mingw32
arch     i386
os       mingw32
system   i386, mingw32
status   Patched
major    2
minor    1.0
year     2005
month    05
day      09
language R
>


[Rd] Problem with fPortfolio
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