[R] fPortfolio constraints, maxsumW

From: John P. Burkett <burkett_at_uri.edu>
Date: Tue, 12 Aug 2008 10:46:28 -0400

Running R version 2.6.1 under Gentoo Linux and using the fPortfolio package, I am having trouble specifying a sector constraint. One of the constraints to be imposed is that assets 1 and 2 together account for no more than 13.63% of the portfolio. My attempt at coding that constraint, "maxsumW[1:2Assets]=13.63" fails. The relevant section of my code file and the resulting error message are pasted below. Suggestions about how to correct my coding would be most welcome.

*************Code beings here************************
Data = as.timeSeries(Jdata)
Spec = portfolioSpec()
setNFrontierPoints(Spec) = 150
Constraint = c("minW[1:nAssets]=0", "maxsumW[1:2Assets]=13.63") frontier = portfolioFrontier(Data, Spec, Constraint)
**************Error message begins here***************
Error in parse(text = constraints[i]) :

   unexpected symbol in "maxsumW[1:2Assets"
**************Error message ends here******************


John P. Burkett
Department of Environmental and Natural Resource Economics
and Department of Economics
University of Rhode Island
Kingston, RI 02881-0808

phone (401) 874-9195

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Received on Tue 12 Aug 2008 - 14:58:05 GMT

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