Hi, I am trying to optimize a portfolio of two assets (I wanted my students to confirm the tangency portfolio formula with the results of fPortfolio optimization):
Setting my portfolio as: lppData <- PF tgSpecL <- portfolioSpec() setRiskFreeRate(tgSpecL) <- 0 setNFrontierPoints(tgSpecL) <- 50 tgPortfolio1 <- tangencyPortfolio(data = lppData, spec = tgSpecL, constraints = "LongOnly") print(tgPortfolio1) tgPortfolio1EF <- portfolioFrontier(data = lppData, spec = tgSpecL, constraints = "LongOnly") tailoredFrontierPlot(tgPortfolio1EF) I get a tangency line that cuts through the efficient frontier instead of being tangent to it (and crossing with the sharpe ratio) and thus nothing that relates at all to what you would compute by hand. Why could this be? I enclosed the assets returns as csv. I also tried with the short constraint setting and different risk-free rates but this should not be a problem here. Thank you for your help, best regards, Sebastian Two_Assets.csv <http://r.789695.n4.nabble.com/file/n4677700/Two_Assets.csv> -- View this message in context: http://r.789695.n4.nabble.com/fPortfolio-and-tangency-portfolio-for-two-assets-tp4677700.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [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.
