Help with fPortfolio

[abhibera]

Hi

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.

Regards

Abhijit Bera

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[Yohan Chalabi]

>>>> "AB" == Abhijit Bera <[hidden email]>
>>>> on Wed, 11 Nov 2009 15:34:50 +0500

Hi Abhijit,

Please note that cross-posting is considered to be impolite.

   AB> I'm getting the following errors while using the
   AB> efficientPortfolio function
   AB> even though I'm setting the target return to the mean of the
   AB> TargetReturn I
   AB> obtain from the portfolio object created by the
   AB> feasiblePortfolio function.
   AB>
   AB> First Error:
   AB> Error: targetReturn >= min(mu) is not TRUE

As stated by the error message, the target return should be larger
or equal to the minimum return of your time series.

   AB>
   AB> Second Error:
   AB> Error in .rquadprog(Dmat = args, dvec = args, Amat = args, :
   AB>
   AB> NA/NaN/Inf in foreign function call (arg 8)

HTH,
Yohan

--
PhD candidate
Swiss Federal Institute of Technology
Zurich

www.ethz.ch

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