[Rd] Help with fPortfolio

From: Abhijit Bera <abhibera_at_gmail.com>
Date: Wed, 11 Nov 2009 15:34:50 +0500


I'm getting the following errors while using the efficientPortfolio function even though I'm setting the target return to the mean of the TargetReturn I obtain from the portfolio object created by the feasiblePortfolio function.

First Error:
Error: targetReturn >= min(mu) is not TRUE

Second Error:
Error in .rquadprog(Dmat = args$Dmat, dvec = args$dvec, Amat = args$Amat, :

  NA/NaN/Inf in foreign function call (arg 8)

I'm using a timeSeries created from daily stock prices of selected stocks on the Bombay Sensex. My timeSeries is of the following format

date stock1 stock2 stock3

I don't understand why I'm getting these errors. I tried the same functions using the SWX.RET and LPPDATA2005.RET time series and I got results.


Abhijit Bera

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