Re: [R] NAs in optim

From: Hannu Kahra <hkahra_at_gmail.com>
Date: Mon 23 Jan 2006 - 18:57:37 EST

sum(na.rm=TRUE) works and gives a solution, but in that case I will loose observations, since if any caw[i,j], mom[i,j] or me[i,j] is a NA, retp[i] will be a NA in the following

retp[i] <- (caw[i,j]+1/24*(b1*mom[i,j] + b2*me[i,j] + b3*btm[i,j]))*ret[i,j]

caw[i,j] is the weight of stock j at date i in a benchmark portfolio; b1, b2 and b3 are the coefficients to be estimated; mom[i,j], me[i,j] and btm[i,j] are the characteristics of stock j at date i; and ret[i,j] is the return on stock j at date i. Rather than estimating one weight for each stock, I estimate weights as a single function of characteristics that applies to all 24 stocks.

Prof. Ripley is right; I have NAs in my data using optim, not in optim itself.

On 1/23/06, Prof Brian Ripley <ripley@stats.ox.ac.uk> wrote:
>
> This is NAs in your own code, not in optim! Please use a truthful
> subject.
>
> Consider the use of sum(na.rm=TRUE) rather than your inner loop.
>
> On Sun, 22 Jan 2006, Hannu Kahra wrote:
>
> > Hi,
> >
> > I am trying to maximize a utility function using optim. I have a problem
> > with optim, since some of the values in the caw, mom, me and btm
> matrixes in
> > the code bellow are missing. Is there a handy way just to skip the
> missing
> > values in the loop?
> >
> > g <- 5
> > retp <- NULL
> > object <- function (x)
> > {
> > b1 <- x[1]
> > b2 <- x[2]
> > b3 <- x[3]
> > for(i in 1:nrow(ret)){
> > for(j in 1:ncol(ret)){
> > retp[i] <- (caw[i,j]+1/24*(b1*mom[i,j] + b2*me[i,j] +
> > b3*btm[i,j]))*ret[i,j]
> > }
> > }
> > util <- (1+retp)^(1-g)/(1-g)
> > return(-sum(util))
> > }
> > result <- optim(c(2.0,-1.0,3.5
> > ),object,control=list(maxit=500),hessian=TRUE,method="BFGS")
> >
> > Thank you in advance.
> > Hannu Kahra
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
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> http://www.R-project.org/posting-guide.html
> >
>
> --
> Brian D. Ripley, ripley@stats.ox.ac.uk
> Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
> University of Oxford, Tel: +44 1865 272861 (self)
> 1 South Parks Road, +44 1865 272866 (PA)
> Oxford OX1 3TG, UK Fax: +44 1865 272595
>

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Mon Jan 23 19:07:02 2006

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