Re: [Rd] Problem with fPortfolio

From: Uwe Ligges <ligges_at_statistik.uni-dortmund.de>
Date: Wed 01 Jun 2005 - 06:28:30 GMT

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 LeSuperHéros 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
>
>>

>
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> https://stat.ethz.ch/mailman/listinfo/r-devel


R-devel@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-devel Received on Wed Jun 01 16:37:46 2005

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