[prev in list] [next in list] [prev in thread] [next in thread] 

List:       r-help
Subject:    [R] fPortfolio group constraint problem
From:       이현열 <leebisu () gmail ! com>
Date:       2016-10-28 8:30:37
Message-ID: CALp_pStW_O=Li1yJQ+H0rOSiOVj47xo-RBAQZ7qtgYKEK0te1w () mail ! gmail ! com
[Download RAW message or body]

recently, I bought Portfolio optimization with R/Rmetrics
and i have some problem doing it (fPortfolio Package)



*group.1 = c("minsumW[ sec1 ] = 0.215688 " ,  "maxsumW[ sec1 ] = 0.3126 "
)  groupConstraints = c(group.1)  portfolioConstraints(ret, mv,
groupConstraints)*

it works, but




*x = 0.215688group.1 = c("minsumW[ sec1 ] = x " ,  "maxsumW[ sec1 ] =
0.3126 " )  groupConstraints = c(group.1)  portfolioConstraints(ret, mv,
groupConstraints)*

then, if i check the constraint, the error


*Warning message:NAs introduced by coercion*

I guess, if group constraint is not a numeric number, it cannot work.

How can i deal with it?
because group constraint level is different for backtest time, not a
constant numeric.

-- 

*이 현 열(Hyun-Yul Lee )*

Web : http://henryquant.blogspot.kr/

Mobile : +82 10 3057 0072

Email : *leebisu@gmail.com <leebisu@gmail.com>*

	[[alternative HTML version deleted]]

______________________________________________
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[prev in list] [next in list] [prev in thread] [next in thread]