I recently upgraded my version of R to 2.10.0 and installed the fPortfolio package.
I noticed that once I did that, my codes ran into errors whenever I tried to run CVaR portfolio optimisation. I then noticed that fPortfolio wasn't loading the Rsymphony package... is anyone having the same problem?
I've tried loading the package manually but the commands for how fPortfolio runs solveRsymphony through Rsymphony is probably different (i.e. the constraints).
Here's the relevant codes:
## Initial Settings
library(fPortfolio)
Loading required package: MASS
Loading required package: quadprog
Loading required package: robustbase
Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fBasics
Loading required package: fAssets
Loading required package: sn
Loading required package: mnormt
Package 'sn', 0.4-12 (2009-03-21). Type 'help(SN)' for summary information
Loading required package: fCopulae
Attaching package: 'fAssets'
The following object(s) are masked from package:fCopulae :
.mvstFit
Loading required package: Rglpk
Loading required package: slam
Attaching package: 'slam'
The following object(s) are masked from package:timeSeries :
colMeans,
colSums
The following object(s) are masked from package:base :
colMeans,
colSums,
rowMeans,
rowSums
Using the GLPK callable library version 4.37
## Portfolio Settings
cvarspec <- portfolioSpec()
setType(cvarspec) <- "CVaR"
setAlpha(cvarspec) <- 0.05
setSolver(cvarspec) <- "solveRsymphony"
cvarport1 <- tangencyPortfolio(pdata,cvarspec)
Error in get(as.character(FUN), mode = "function", envir = envir) :
object 'solveRsymphony' of mode 'function' was not found
Also, sessionInfo():
R version 2.10.0 (2009-10-26)
i386-pc-mingw32
locale:
[1] LC_COLLATE=English_Australia.1252 LC_CTYPE=English_Australia.1252 LC_MONETARY=English_Australia.1252 LC_NUMERIC=C
[5] LC_TIME=English_Australia.1252
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] fPortfolio_2100.78 Rglpk_0.3-1 slam_0.1-6 fAssets_2100.78 fCopulae_2110.78 sn_0.4-12 mnormt_1.3-3 fBasics_2100.78
[9] timeSeries_2100.84 timeDate_2100.86 robustbase_0.4-5 quadprog_1.4-11 MASS_7.3-3
loaded via a namespace (and not attached):
[1] tools_2.10.0
Any help is greatly appreciated!
