[Rd] Problem with fPortfolio

From: Neuro LeSuperHéros <neuro3000_at_hotmail.com>
Date: Tue 31 May 2005 - 22:51:43 GMT


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
>


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https://stat.ethz.ch/mailman/listinfo/r-devel Received on Wed Jun 01 09:04:00 2005

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