Hello Felipe, I am not an expert in fPortfolio, so I can't tell you with 100% certainty if its working or not. I tried for a while and didn't get it running with the portfolio package. Maximizing the return is more complex than the min Variance program...
I have two suggestions: 1. Create efficient frontier (with lets say 1000 or 2000 points) and then determine a portfolio on that frontier which is closest to your target sigma. The function could be portspec <- portfolioSpec() setNFrontierPoints (portspec) <- 2000 portfolio <- portfolioFrontier(DATA,portspec,"LongOnly") Remember that you don't want to end up in the lower branch... :-) 2. Solve it with a heuristic (e.g. DEoptim - see my last thread). But I just started using it. Lui On Mon, Jan 24, 2011 at 10:52 PM, Luis Felipe Parra <[email protected]> wrote: > Hello I am using the fPortfolio package and I see there is the option in the > model slot "objRisk" which permits the user to define its own objective > function. I have the ebook Portfolio Optimization with Rmetrics and there it > says examples on this option are on the advanced version of the book, which > I looked on the Rmetrics webpage and apparently it doesn't exist yet. Does > anybody have an example or knows where can I find an example of the usage of > this option. How can I define my own objective function to optimize? Thank > you > > Felipe Parra* > * > > [[alternative HTML version deleted]] > > ______________________________________________ > [email protected] mailing list > 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. > _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
