Yes, looks like a bug in package fPortfolio.
Please report bugs in conztributed packages to the package maintainer
(look at e.g. library(help=fPortfolio)) rather than to an R list.
Thank you.
Uwe Ligges
Neuro LeSuperHéros wrote:
Hello,
I hesitate to call this a bug, because I could have forgotten something
important, but the MarkowitzPortfolio example in fPortfolio does not
work for me. Here's my code:
library(fPortfolio)
xmpPortfolio(\nStart: Load monthly data set of returns )
data(berndtInvest)
# Exclude Date, Market and Interest Rate columns from data frame,
# then multiply by 100 for percentual returns ...
berndtAssets = berndtInvest[, -c(1, 11, 18)]
rownames(berndtAssets) = berndtInvest[, 1]
head(berndtAssets)
CITCRP CONED CONTIL DATGENDEC DELTA GENMIL GERBERIBM
MOBIL PANAM PSNH TANDY TEXACO
1-Jan-78 -0.115 -0.079 -0.129 -0.084 -0.100 -0.028 -0.099 -0.048 -0.029
-0.046 0.025 -0.008 -0.075 -0.054
1-Feb-78 -0.019 -0.003 0.037 -0.097 -0.063 -0.033 0.018 0.160 -0.043
-0.017 -0.073 -0.025 -0.004 -0.010
1-Mar-78 0.059 0.022 0.003 0.063 0.010 0.070 -0.023 -0.036 -0.063
0.049 0.184 0.026 0.124 0.015
1-Apr-78 0.127 -0.005 0.180 0.179 0.165 0.150 0.046 0.004 0.130
0.077 0.089 -0.008 0.055 0.000
1-May-78 0.005 -0.014 0.061 0.052 0.038 -0.031 0.063 0.046 -0.018
-0.011 0.082 0.019 0.176 -0.029
1-Jun-78 0.007 0.034 -0.059 -0.023 -0.021 0.023 0.008 0.028 -0.004
-0.043 0.019 0.032 -0.014 -0.025
WEYER
1-Jan-78 -0.116
1-Feb-78 -0.135
1-Mar-78 0.084
1-Apr-78 0.144
1-May-78 -0.031
1-Jun-78 0.005
## Markowitz Portfolios:
myPortfolio = portfolioMarkowitz(berndtAssets, targetReturn =
20/100/12)
Error in portfolioMarkowitz(berndtAssets, targetReturn = 20/100/12) :
Object pfolio not found
version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status Patched
major2
minor1.0
year 2005
month05
day 09
language R
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