I am trying to use the maxreturnPortfolio to maximise the return of a multiasset portfolio for a given level of risk. Somehow I do not seem to be able to produce any result with it. As anyone used this before and could give me a sample code on how to use it. basically I have a matrix of etf and try to generate a portfolio for 10% target risk. my code is as follows:
rm(list=ls(all=TRUE)) library(quantmod) library(PerformanceAnalytics) require(fPortfolio) ETF <- c('VGSIX','VUSTX','VGTSX','VFISX','VTSMX','VFITX','VEIEX','VIPSX') getSymbols(ETF,source = 'yahoo') datamat <- as.xts(cbind(get("VGTSX")[,4],get("VTSMX")[,4],get("VEIEX")[,4],get("VGSIX")[,4],get("VUSTX")[,4],get("VFITX")[,4],get("VFISX")[,4],get("VIPSX")[,4])) datamatrix <- apply(datamat,2,function(x) diff(log(x))) colnames(datamatrix) <- c('Global Equities Ex US','US Equities','Emerging Markets Stocks',"REITs",'Treasuries 15 - 30Y','Treasuries 5-10Y','Treasuries 1-4Y','US Inflation Linked 7 - 20Y') datamatrix <- as.xts(datamatrix) Spec <- portfolioSpec() setTargetRisk(Spec) <- 0.10 maxreturnPortfolio(as.timeSeries(datamatrix),spec=Spec,constraints="LongOnly") Whatever the risk target I set I get zero weights for all of the assets. What I get from my R session is as below. : Title: MV Return Maximized Efficient Portfolio Estimator: covEstimator Solver: solveRquadprog Optimize: maxReturn Constraints: LongOnly Portfolio Weights: Global Equities Ex US US Equities Emerging Markets Stocks REITs 0 0 0 0 Treasuries 15 - 30Y Treasuries 5-10Y Treasuries 1-4Y US Inflation Linked 7 - 20Y 0 0 0 0 Covariance Risk Budgets: Global Equities Ex US US Equities Emerging Markets Stocks REITs Treasuries 15 - 30Y Treasuries 5-10Y Treasuries 1-4Y US Inflation Linked 7 - 20Y Target Return and Risks: mean mu Cov Sigma CVaR VaR 0 0 0 0 0 0 Description: Mon Jun 16 09:56:39 2014 by user: Pierre Any help appreciated. -- View this message in context: http://r.789695.n4.nabble.com/fPortfolio-and-maxreturnPortfolio-tp4692180.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ R-SIG-Finance@r-project.org 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.