Re: [R-sig-finance] Example codes fPortfolio Package ?

Diethelm Wuertz wrote:

R@Nabble wrote:
> Hello,
>
> I was wondering whether there are more code-examples available for the above
> package. In particular, I'm interested in applications whereby:
>
> 1) One can define per asset the minW, maxW constraints.
> (I tried ConstrLO = c("minW[1]=10","minW[2]=10","maxW[3]=15"), but I guess
> my interpretation of "vector of character strings" as described in the
> manual for the input here is wrong).
> 2) In addition to 1, add sector constraints (i.e. does one simply add it,
> like ConstrLO = c("minW[1]=10","minW[2]=10","maxW[3]=15", "minsumW[1:2]=50")
> ???)
>  
Try just

c("minW[1]=0.10","minW[2]=0.10","maxW[3]=0.15") instead of


c("minW[1]=10","minW[2]=10","maxW[3]=15")


I think this should be made more explicit in the help file.

Have you looked in the unit test directory where you find douzans of
unit testing examples.

Diethelm


> 3) One can add the benchmark portfolio within the analysis, in particular as
> a "dot" within the efficient frontier graph.
> 4) Assuming leverage, how to show a move along the cap.mkt line?
>
> Any help/suggestions much appreciated.
>
> Thx,
>
> R@N
>  


--

PD Dr. Diethelm Wuertz
Institute for Theoretical Physics
Swiss Federal Institute of Technology

www.itp.phys.ethz.ch
www.rmetrics.org

NOTE:
Rmetrics Workshop: http://www.rmetrics.org/meielisalp.htm
June 29th - July 3rd Meielisalp, Lake Thune, Switzerland

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