Dear JarnoPerhaps you could try adding Trace = TRUE argument in your
optimize.portfolio.rebalancing call.
Regards,Pankaj K Agarwal
+91-98397-11444http://in.linkedin.com/in/pankajkagarwal/
On Tuesday, 15 November, 2022 at 04:37:21 pm IST, Jarno Bergmeier
<[email protected]> wrote:
Hello everyone, I am currently trying to run an out-of-sample-optimization
with the PortfolioAnalytics package, where the quadratic utility function of
the investor also penalizes transaction costs (40bps) through the numeric
solver. The vignette states that this can be implemented via a constraint that
is supported for quadratic utility maximization using the ROI solver. However,
this does not work for me. I have the following exemplary code: library(xts)
library(PortfolioAnalytics)
library(ROI)
library(quadprog)
options(scipen = 999) data("edhec")
returns = edhec[, 1:3]
colnames(returns) = c("CA", "CTAG", "DS") port <- portfolio.spec(assets =
colnames(returns))
port <- add.constraint(port, "long_only")
port <- add.constraint(port, "weight_sum", min_weight = 1, max_weight = 1)
port <- add.constraint(port, "transaction_cost", ptc = 0.004)
port <- add.objective(port, type = "risk", name = "var", risk_aversion = 10)
port <- add.objective(port, type = "return", name = "mean") opt_TC =
optimize.portfolio.rebalancing(R = returns, portfolio = port, optimize_method =
"ROI", rebalance_on = "months", training_period = 100, rolling_window = NULL)
rr_TC = Return.portfolio(returns, weights = extractWeights(opt_TC))
charts.PerformanceSummary(rr_TC)
chart.Weights(opt_TC) When I run this code without the transaction cost
constraint it works fully as intended. However, if I run it with the TC
constraint, I suddenly receive the following error messages:>
charts.PerformanceSummary(rr_TC)
Error in `[.xts`(x, start.row, 1) : subscript out of bounds
> chart.Weights(opt_TC)
Error in plot.window(xlim, ylim, log = log, ...) :
need finite 'ylim' values It does work with the "DEoptim" solver (although
the solutions somehow look strange to me), but I would want to run it using the
ROI solver, which should be possible as I understand it. Has someone had a
similar problem and was able to fix it? Kind regards,
Jarno _______________________________________________
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