I am excited about the potential benefits the PortfolioAnalytics package
provides, but am new to working with the package.
My objective is to calculate a constrained risk budget for a given CVaR
level. When I run the code below I get the following error:
Leverage constraint min_sum and max_sum are restrictive, consider relaxing.
e.g. 'full_investment' constraint should be min_sum=0.99 and max_sum=1.01 Error
in seq.default(from = round(min, rounding), to = round(max, rounding), :
'from' cannot be NA, NaN or infinite
Aren't the defaults for full_investment (min_sum = 0.99 and max_sum =
1.01) what is being stated in the error message? Or is my objective
too restrictive? Also, is the Error (seq.default) related to the
full_investment constraint?
Also, I read a post in 2010 that stated group constraints were not
compatible with DEoptim. Is this still the case?
Appreciate any help you may be able to provide me and thanks for the
great package.
Sincerely,
John E. Kaprich
R version 3.0.2 (2013-09-25) -- "Frisbee Sailing"
Copyright (C) 2013 The R Foundation for Statistical Computing
Platform: x86_64-w64-mingw32/x64 (64-bit)
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
[Workspace loaded from ~/RStudio Working Directory/.RData]
> library("doParallel", lib.loc="C:/Program Files/R/R-3.0.2/library")Loading
> required package: foreachforeach: simple, scalable parallel programming from
> Revolution Analytics
Use Revolution R for scalability, fault tolerance and
more.http://www.revolutionanalytics.comLoading required package:
iteratorsLoading required package: parallel> library("DEoptim",
lib.loc="C:/Program Files/R/R-3.0.2/library")
DEoptim package
Differential Evolution algorithm in R
Authors: D. Ardia, K. Mullen, B. Peterson and J. Ulrich
> library("PortfolioAnalytics", lib.loc="C:/Program
> Files/R/R-3.0.2/library")Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: xtsLoading required package: PerformanceAnalytics
Package PerformanceAnalytics (1.1.0) loaded.
Econometric tools for performance and risk analysis.
(c) 2004-2012 Peter Carl, Brian G. Peterson. License:
GPLhttp://r-forge.r-project.org/projects/returnanalytics/
Attaching package: 'PerformanceAnalytics'
The following object is masked from 'package:graphics':
legend
> library("timeSeries", lib.loc="C:/Program Files/R/R-3.0.2/library")Loading
> required package: timeDate
Attaching package: 'timeDate'
The following objects are masked from 'package:PerformanceAnalytics':
kurtosis, skewness
Attaching package: 'timeSeries'
The following object is masked from 'package:zoo':
time<-
> > ### Import Pricing Data into R ###> > Pricing <- read.table("RDataAA.txt",
> > header=TRUE, sep="\t", colClasses = c("character", "numeric",
> > "numeric","numeric","numeric","numeric","numeric","numeric","numeric","numeric","numeric",
> > "numeric"))> PricingTS <- timeSeries (Pricing[-1], Pricing[[1]], format =
> > "%Y/%m/%d")> is.timeSeries(PricingTS)[1] TRUE> > ### Convert Pricing Data
> > into Percentage Returns ###> > AAReturns <- diff(log(PricingTS))> AARet <-
> > AAReturns [-1,]> is.timeSeries(AARet)[1] TRUE>
> summary(AARet) LCEquity SCEquity DevFEquity
> DevFSCEquity
Min. :-0.0694875 Min. :-0.0910853 Min. :-7.774e-02 Min.
:-0.0932107
1st Qu.:-0.0043533 1st Qu.:-0.0059912 1st Qu.:-6.413e-03 1st
Qu.:-0.0060075
Median : 0.0006532 Median : 0.0009359 Median : 1.117e-03 Median
: 0.0007584
Mean : 0.0004196 Mean : 0.0004097 Mean : 5.035e-05 Mean
: 0.0001602
3rd Qu.: 0.0057196 3rd Qu.: 0.0081454 3rd Qu.: 7.791e-03 3rd
Qu.: 0.0075388
Max. : 0.0438853 Max. : 0.0645193 Max. : 6.519e-02 Max.
: 0.0801522
EMEquity CoreFI HYFI
Preferred
Min. :-0.0870541 Min. :-1.252e-02 Min. :-4.344e-02 Min.
:-0.0999697
1st Qu.:-0.0088591 1st Qu.:-1.267e-03 1st Qu.:-2.484e-03 1st
Qu.:-0.0017787
Median : 0.0004951 Median : 1.791e-04 Median : 0.000e+00 Median
: 0.0002802
Mean :-0.0001952 Mean : 2.672e-05 Mean :-3.520e-06 Mean
:-0.0000758
3rd Qu.: 0.0083477 3rd Qu.: 1.372e-03 3rd Qu.: 2.535e-03 3rd
Qu.: 0.0020096
Max. : 0.0605309 Max. : 8.360e-03 Max. : 2.850e-02 Max.
: 0.0683953
BankLoans EMSovDebt Commodities
Min. :-4.007e-02 Min. :-2.956e-02 Min. :-0.0562138
1st Qu.:-8.200e-04 1st Qu.:-1.923e-03 1st Qu.:-0.0055469
Median : 0.000e+00 Median : 3.681e-04 Median : 0.0000000
Mean :-2.058e-05 Mean : 3.062e-05 Mean :-0.0004546
3rd Qu.: 1.205e-03 3rd Qu.: 2.383e-03 3rd Qu.: 0.0055249
Max. : 1.810e-02 Max. : 2.458e-02 Max. : 0.0339187
> ### Develop Portfolio Constraints ###> > AAFrontier <-
> portfolio.spec(assets=colnames(AARet[,1:11]))> AAFrontier <-
> add.constraint(AAFrontier, type="full_investment", enabled = TRUE)>
> AAFrontier <- add.constraint(AAFrontier, type = "group",+ groups =
> list(Equity=c(1,2,3,4,5),+ Foreign = c(3,4,5,10),+ High_Yield = c(7,9)),+
> group_min = c(0,0,0),+ group_max = c(0.2,0.15,0.15))> > ### Develop Portfolio
> Objectives ###> > AAFrontier <- add.objective(AAFrontier, type =
> "risk_budget",+ name = "CVaR", enabled = TRUE,+ min_prisk=-Inf,+
> max_prisk=0.3)> > ### Optimize Portfolio ###> > AAFrontierDE <-
> optimize.portfolio(AARet[,1:11], AAFrontier,+ optimize_method=c("DEoptim"),
> search_size = 2000, trace=FALSE)Leverage constraint min_sum and max_sum are
> restrictive,
consider relaxing. e.g. 'full_investment' constraint
should be min_sum=0.99 and max_sum=1.01Error in seq.default(from =
round(min, rounding), to = round(max, rounding), :
'from' cannot be NA, NaN or infinite
> PricingTSGMT
LCEquity SCEquity DevFEquity DevFSCEquity EMEquity CoreFI
HYFI Preferred BankLoans
2011-03-03 74.21 82.80 61.79 43.84 46.85 104.74
40.63 39.42 25.13
2011-03-04 73.67 82.44 61.23 43.68 46.90 105.02
40.49 39.48 25.08
2011-03-07 73.05 81.09 60.64 43.48 46.24 105.07
40.57 39.32 25.06
2011-03-08 73.67 82.41 60.83 43.46 46.86 104.99
40.53 39.43 25.01
2011-03-09 73.55 82.08 60.85 43.43 46.95 105.24
40.39 39.47 25.06
2011-03-10 72.23 79.97 59.34 42.29 45.56 105.61
40.23 39.39 25.03
2011-03-11 72.70 80.18 59.34 42.23 46.03 105.63
40.28 39.45 24.99
2011-03-14 72.30 79.75 58.28 41.30 46.30 105.69
40.14 39.39 24.92
2011-03-15 71.51 79.04 57.06 40.21 45.53 105.73
39.87 39.32 24.59
2011-03-16 70.25 78.25 55.29 39.32 44.60 106.03
39.58 39.22 24.53
2011-03-17 71.08 78.42 57.13 40.49 45.15 105.96
40.02 39.19 24.67
2011-03-18 71.36 79.46 57.92 41.53 45.23 105.92
40.23 39.34 24.83
2011-03-21 72.46 81.30 59.35 42.66 46.10 105.67
40.45 39.41 24.88
2011-03-22 72.21 80.87 59.18 42.50 46.24 105.68
40.46 39.45 24.90
2011-03-23 72.40 81.12 59.25 42.46 46.85 105.63
40.39 39.49 24.94
2011-03-24 72.81 81.51 60.04 43.06 47.39 105.34
40.42 39.47 24.97
2011-03-25 73.08 82.22 59.38 42.61 47.34 105.25
40.40 39.53 25.02
2011-03-28 72.90 82.04 59.35 42.59 47.10 105.20
40.40 39.54 25.04
2011-03-29 73.38 82.81 59.66 42.85 47.64 105.07
40.42 39.53 25.06
2011-03-30 73.91 83.88 60.37 43.34 48.25 105.25
40.52 39.61 25.11
2011-03-31 73.87 84.17 60.08 43.34 48.67 105.13
40.51 39.65 25.12
2011-04-01 74.19 84.54 60.65 43.43 49.45 104.96
40.21 39.57 25.10
2011-04-04 74.25 84.73 60.73 43.64 49.87 105.13
40.51 39.57 25.19
2011-04-05 74.28 85.19 60.58 43.43 49.77 104.91
40.40 39.66 25.19
2011-04-06 74.46 85.38 61.08 43.59 50.04 104.60
40.50 39.65 25.24
2011-04-07 74.30 84.87 60.78 43.31 49.99 104.76
40.56 39.53 25.28
2011-04-08 74.00 83.98 61.28 43.67 50.04 104.56
40.51 39.58 25.29
2011-04-11 73.77 83.23 61.16 43.58 49.45 104.66
40.46 39.48 25.31
2011-04-12 73.20 82.14 60.59 43.09 48.52 105.06
40.34 39.39 25.28
2011-04-13 73.23 82.25 60.77 43.22 48.92 105.17
40.56 39.38 25.31
2011-04-14 73.27 82.63 61.04 43.70 49.07 105.07
40.41 39.37 25.30
2011-04-15 73.58 83.51 60.95 43.71 49.14 105.45
40.49 39.38 25.27
2011-04-18 72.73 82.13 59.70 43.00 47.90 105.63
40.29 39.32 25.22
2011-04-19 73.11 82.15 60.14 43.39 48.59 105.84
40.46 39.47 25.25
2011-04-20 74.18 83.83 61.67 44.31 49.74 105.69
40.57 39.58 25.28
2011-04-21 74.56 84.45 62.07 44.64 50.18 105.76
40.71 39.67 25.28
2011-04-25 74.48 84.34 62.07 44.77 49.77 105.82
40.67 39.74 25.27
2011-04-26 75.13 85.18 62.55 44.99 50.20 106.21
40.75 39.82 25.26
2011-04-27 75.59 85.69 63.33 45.45 50.11 106.12
40.73 39.90 25.26
2011-04-28 75.83 86.08 63.76 45.82 49.70 106.37
40.81 39.96 25.28
2011-04-29 76.05 86.39 63.46 45.89 50.00 106.46
40.90 40.06 25.28
2011-05-02 75.92 85.38 63.87 45.85 50.01 106.20
40.64 39.78 25.28
2011-05-03 75.59 84.30 63.35 45.44 48.90 106.23
40.66 39.83 25.27
2011-05-04 75.05 83.21 62.81 45.07 48.09 106.43
40.63 39.87 25.27
2011-05-05 74.47 82.83 61.57 44.26 47.63 106.67
40.49 39.77 25.25
2011-05-06 74.74 83.27 61.60 44.33 48.25 106.66
40.72 39.82 25.27
2011-05-09 75.10 84.24 62.04 44.71 48.34 106.78
40.71 39.90 25.28
2011-05-10 75.76 85.53 62.63 45.24 48.91 106.59
40.78 40.00 25.28
2011-05-11 74.99 83.95 61.37 44.41 47.83 106.78
40.71 40.02 25.27
2011-05-12 75.33 84.69 61.57 44.41 47.97 106.62
40.74 40.06 25.25
2011-05-13 74.72 83.51 60.61 43.66 46.92 106.79
40.63 40.11 25.21
2011-05-16 74.24 82.29 60.50 43.54 46.85 107.02
40.69 40.06 25.20
2011-05-17 74.16 82.03 60.63 43.52 47.00 107.14
40.77 40.10 25.20
2011-05-18 74.86 83.29 61.00 43.77 47.76 106.97
40.84 40.09 25.19
2011-05-19 75.01 83.47 61.35 43.88 47.45 106.89
40.80 40.12 25.17
2011-05-20 74.50 82.86 60.48 43.53 47.07 106.99
40.81 40.09 25.16
2011-05-23 73.56 81.37 59.08 42.50 46.09 107.08
40.66 40.03 25.14
2011-05-24 73.53 80.98 59.42 42.78 46.55 107.12
40.52 40.03 25.13
2011-05-25 73.78 82.00 59.80 43.00 46.65 107.10
40.57 40.04 25.09
2011-05-26 74.16 83.08 60.36 43.42 47.25 107.33
40.57 40.01 25.05
2011-05-27 74.50 83.65 60.80 43.86 47.75 107.43
40.77 40.07 25.05
2011-05-31 75.22 84.84 62.06 44.77 48.53 107.46
40.88 40.09 25.08
2011-06-01 73.56 82.11 60.59 43.90 47.66 107.61
40.31 39.76 25.10
2011-06-02 73.49 82.08 60.90 44.31 48.11 107.18
40.32 39.64 25.09
2011-06-03 72.72 80.88 60.93 44.29 47.87 107.32
40.05 39.61 25.06
2011-06-06 71.93 79.55 60.14 43.82 47.10 107.34
39.96 39.51 25.03
2011-06-07 71.93 79.74 60.69 44.09 47.47 107.56
40.02 39.51 25.01
2011-06-08 71.59 78.85 59.91 43.51 47.13 107.65
39.88 39.39 24.98
2011-06-09 72.07 79.27 60.53 43.90 47.50 107.49
39.92 39.36 24.97
2011-06-10 71.06 78.00 59.13 42.95 46.47 107.48
39.52 39.30 24.92
2011-06-13 71.06 77.78 59.22 42.94 46.39 107.34
39.41 39.27 24.88
2011-06-14 71.99 79.45 60.27 43.54 47.09 107.05
39.73 39.38 24.93
2011-06-15 70.75 78.03 58.29 42.32 46.08 107.32
39.52 39.23 24.84
2011-06-16 70.86 78.21 58.09 41.97 45.73 107.39
38.78 38.86 24.74
2011-06-17 71.05 78.23 58.66 42.36 45.79 107.49
39.38 39.11 24.72
2011-06-20 71.42 78.95 58.59 42.05 45.72 107.35
39.49 39.14 24.73
2011-06-21 72.44 80.66 59.86 42.91 46.56 107.45
39.75 39.25 24.76
2011-06-22 72.03 80.04 58.15 42.17 45.64 107.38
39.42 39.28 24.74
2011-06-23 71.87 80.35 57.65 41.87 45.58 107.73
39.59 39.27 24.62
2011-06-24 71.05 79.94 57.10 41.34 45.50 107.63
39.45 39.22 24.70
2011-06-27 71.61 80.56 57.57 41.57 46.03 107.44
39.47 39.19 24.69
2011-06-28 72.57 81.81 58.26 42.18 46.66 107.01
39.68 39.44 24.72
2011-06-29 73.22 82.20 59.28 42.91 47.09 106.69
39.93 39.50 24.75
2011-06-30 73.89 82.80 60.14 43.63 47.60 106.67
40.22 39.66 24.83
2011-07-01 74.98 84.09 60.80 44.05 48.16 106.40
40.28 39.47 24.88
2011-07-05 74.62 84.04 60.44 43.94 48.14 106.81
40.24 39.52 24.92
2011-07-06 74.76 84.38 60.06 43.68 47.82 106.87
40.16 39.49 24.93
2011-07-07 75.54 85.65 60.58 44.06 48.48 106.57
40.39 39.57 24.85
2011-07-08 75.02 85.13 59.83 43.66 47.93 107.12
40.35 39.55 24.90
2011-07-11 73.60 83.32 58.02 42.37 46.59 107.41
39.96 39.36 24.90
2011-07-12 73.28 82.85 57.63 42.04 46.12 107.50
39.86 39.23 24.84
2011-07-13 73.54 83.59 58.49 42.87 46.87 107.71
40.10 39.35 24.87
2011-07-14 73.01 82.26 57.98 42.55 46.37 107.44
40.15 39.26 24.89
2011-07-15 73.42 82.81 58.18 42.66 46.66 107.59
40.11 39.30 24.83
2011-07-18 72.74 81.48 57.32 41.90 46.12 107.43
39.96 39.04 24.77
2011-07-19 73.96 83.32 58.18 42.40 46.79 107.66
40.19 39.08 24.81
2011-07-20 73.93 83.18 58.87 42.80 46.93 107.49
40.23 39.15 24.82
2011-07-21 74.92 83.94 60.12 43.56 47.68 107.32
40.45 39.31 24.82
2011-07-22 74.99 84.05 60.18 43.66 47.65 107.55
40.44 39.37 24.83
2011-07-25 74.55 83.06 59.80 43.67 47.55 107.24
40.28 39.19 24.81
EMSovDebt Commodities
2011-03-03 26.27 50.97
2011-03-04 26.29 51.29
2011-03-07 26.36 51.06
2011-03-08 26.43 50.70
2011-03-09 26.47 50.41
2011-03-10 26.44 49.65
2011-03-11 26.46 49.38
2011-03-14 26.48 49.35
2011-03-15 26.32 47.71
2011-03-16 26.15 47.75
2011-03-17 26.26 49.36
2011-03-18 26.33 49.99
2011-03-21 26.38 50.11
2011-03-22 26.33 50.50
2011-03-23 26.39 50.75
2011-03-24 26.40 50.87
2011-03-25 26.40 51.17
2011-03-28 26.32 50.33
2011-03-29 26.34 50.39
2011-03-30 26.37 50.36
2011-03-31 26.42 51.35
2011-04-01 26.52 51.49
2011-04-04 26.50 51.74
2011-04-05 26.51 51.72
2011-04-06 26.56 51.93
2011-04-07 26.55 51.91
2011-04-08 26.59 52.71
2011-04-11 26.56 52.10
2011-04-12 26.54 51.11
2011-04-13 26.55 51.25
2011-04-14 26.55 51.54
2011-04-15 26.47 51.61
2011-04-18 26.41 51.48
2011-04-19 26.46 51.77
2011-04-20 26.52 52.34
2011-04-21 26.51 52.77
2011-04-25 26.50 52.67
2011-04-26 26.51 52.53
2011-04-27 26.60 52.68
2011-04-28 26.63 52.41
2011-04-29 26.71 53.11
2011-05-02 26.77 52.47
2011-05-03 26.85 52.09
2011-05-04 26.88 51.04
2011-05-05 26.88 48.25
2011-05-06 26.92 48.22
2011-05-09 27.01 49.32
2011-05-10 27.05 49.67
2011-05-11 27.07 48.14
2011-05-12 27.13 48.23
2011-05-13 26.96 48.23
2011-05-16 27.02 47.90
2011-05-17 27.04 48.09
2011-05-18 27.06 49.02
2011-05-19 27.07 48.51
2011-05-20 27.08 48.99
2011-05-23 27.01 48.41
2011-05-24 26.96 48.75
2011-05-25 27.02 49.42
2011-05-26 26.96 49.51
2011-05-27 26.96 49.99
2011-05-31 27.17 50.33
2011-06-01 27.08 49.73
2011-06-02 27.10 50.15
2011-06-03 27.14 50.15
2011-06-06 27.13 49.62
2011-06-07 27.13 49.87
2011-06-08 27.17 50.31
2011-06-09 27.17 50.40
2011-06-10 27.19 49.92
2011-06-13 27.16 49.30
2011-06-14 27.17 49.58
2011-06-15 27.03 48.69
2011-06-16 26.88 48.21
2011-06-17 26.90 47.95
2011-06-20 26.92 47.90
2011-06-21 27.05 48.25
2011-06-22 27.02 47.94
2011-06-23 27.00 47.18
2011-06-24 26.99 46.77
2011-06-27 27.03 46.58
2011-06-28 27.08 47.36
2011-06-29 27.08 47.96
2011-06-30 27.09 47.23
2011-07-01 27.18 47.21
2011-07-05 27.21 47.94
2011-07-06 27.12 47.79
2011-07-07 27.13 48.53
2011-07-08 27.18 48.42
2011-07-11 27.18 48.21
2011-07-12 27.08 48.77
2011-07-13 27.14 49.58
2011-07-14 27.21 49.27
2011-07-15 27.09 49.65
2011-07-18 27.08 49.47
2011-07-19 27.02 49.70
2011-07-20 27.13 49.63
2011-07-21 27.16 49.41
2011-07-22 27.17 49.83
2011-07-25 27.19 49.70
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