From ligges at statistik.uni-dortmund.de  Wed Jun  1 08:28:30 2005
From: ligges at statistik.uni-dortmund.de (Uwe Ligges)
Date: Wed Jun  1 08:27:30 2005
Subject: [Rd] Problem with fPortfolio
In-Reply-To: <BAY104-F25D923DC4F415E15250E45AF040@phx.gbl>
References: <BAY104-F25D923DC4F415E15250E45AF040@phx.gbl>
Message-ID: <429D558E.7050608@statistik.uni-dortmund.de>

Yes, looks like a bug in package fPortfolio.
Please report bugs in conztributed packages to the package maintainer 
(look at e.g. library(help=fPortfolio)) rather than to an R list.
Thank you.

Uwe Ligges


Neuro LeSuperH?ros wrote:

> 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
> 
>>
> 
> ______________________________________________
> R-devel@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel


[Rd] Problem with fPortfolio
Uwe Ligges