Could anyone help me with some little problem? When I plot the frontier I
get the following message: *"Error in dimnames(x) <- dn : length of
'dimnames' [1] not equal to array extent"*(see below for detail). How could
I solve this. Thanks a lot.
##---------------------------- Portfolio construction &
Optimisation------------------------
#Assets: LUTAX, PFODX,BRGAX,GFAFX,NMSAX,EGINX,IPOYX,SCWFX,FGLDX,PAGEX
#Getting monthly returns of the assets
library(quantmod)
library(tseries)
library(timeSeries)
LUTAX <- monthlyReturn((getSymbols("LUTAX",auto.assign=FALSE)[,4]),type =
"arithmetic")
colnames(LUTAX) <- c("LUTAX")
PFODX <- monthlyReturn((getSymbols("PFODX",auto.assign=FALSE)[,4]),type =
"arithmetic")
colnames(PFODX) <- c("PFODX")
BRGAX <- monthlyReturn((getSymbols("BRGAX",auto.assign=FALSE)[,4]),type =
"arithmetic")
colnames(BRGAX) <- c("BRGAX")
GFAFX <- monthlyReturn((getSymbols("GFAFX",auto.assign=FALSE)[,4]),type =
"arithmetic")
colnames(GFAFX) <- c("GFAFX")
NMSAX <- monthlyReturn((getSymbols("NMSAX",auto.assign=FALSE)[,4]),type =
"arithmetic")
colnames(NMSAX) <- c("NMSAX")
EGINX <- monthlyReturn((getSymbols("EGINX",auto.assign=FALSE)[,4]),type =
"arithmetic")
colnames(EGINX) <- c("EGINX")
IPOYX <- monthlyReturn((getSymbols("IPOYX",auto.assign=FALSE)[,4]),type =
"arithmetic")
colnames(IPOYX) <- c("IPOYX")
SCWFX <- monthlyReturn((getSymbols("SCWFX",auto.assign=FALSE)[,4]),type =
"arithmetic")
colnames(SCWFX) <- c("SCWFX")
FGLDX <- monthlyReturn((getSymbols("FGLDX",auto.assign=FALSE)[,4]),type =
"arithmetic")
colnames(FGLDX) <- c("FGLDX")
PAGEX <- monthlyReturn((getSymbols("PAGEX",auto.assign=FALSE)[,4]),type =
"arithmetic")
colnames(PAGEX) <- c("PAGEX")
# Merging returns of the assets (excluding NA's)
portfolio_returns <- merge(LUTAX,
PFODX,BRGAX,GFAFX,NMSAX,EGINX,IPOYX,SCWFX,FGLDX,PAGEX,all=F)
data <- as.timeSeries(portfolio_returns)
#Optimisation portfolio
library(fPortfolio)
spec <- portfolioSpec()
setNFrontierPoints <- 25
setSolver(spec) <- "solveRquadprog"
constraints <-
c("minW[1:1]=0.12","maxW[1:1]=0.18","minW[2:2]=0.12","maxW[2:2]=0.18",
"minW[3:3]=0.10","maxW[3:3]=0.15","minW[4:4]=0.08","maxW[4:4]=0.12",
"minW[5:5]=0.08","maxW[5:5]=0.12","minW[6:6]=0.05","maxW[6:6]=0.10",
"minW[7:7]=0.05","maxW[7:7]=0.10","minW[8:8]=0.08","maxW[8:8]=0.12",
"minW[9:9]=0.05","maxW[9:9]=0.10","minW[10:10]=0.08","maxW[10:10]=0.12",
"minsumW[c(1:1,2:2)]=0.27","maxsumW[c(1:1,2:2)]=0.33",
"minsumW[c(3:3,4:4,6:6,10:10)]=0.37","maxsumW[c(3:3,4:4,6:6,10:10)]=0.43",
"minsumW[c(5:5,7:7,8:8,9:9)]=0.27","maxsumW[c(5:5,7:7,8:8,9:9)]=0.33",
"maxsumW[c(1:1,2:2,3:3,4:4,5:5,6:6,7:7,8:8,9:9,10:10)]=1")
portfolioConstraints(data,spec,constraints)
frontier<- portfolioFrontier(data,spec,constraints)
print(frontier)
tailoredFrontierPlot( frontier)
After running the last command above I get the following message:* "Error
in dimnames(x) <- dn : length of 'dimnames' [1] not equal to array extent"*
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