>>>> "JPB" == "John P. Burkett" <[EMAIL PROTECTED]>
>>>> on Tue, 12 Aug 2008 10:46:28 -0400
JPB> Running R version 2.6.1 under Gentoo Linux and using the fPortfolio
JPB> package, I am having trouble specifying a sector constraint. One of the
JPB> constraints to be imposed is that assets 1 and 2 together account for
no
JPB> more than 13.63% of the portfolio. My attempt at coding that
JPB> constraint, "maxsumW[1:2Assets]=13.63" fails. The relevant section of
JPB> my code file and the resulting error message are pasted below.
JPB> Suggestions about how to correct my coding would be most welcome.
JPB>
JPB> *************Code beings here************************
JPB> Data = as.timeSeries(Jdata)
JPB> Spec = portfolioSpec()
JPB> setNFrontierPoints(Spec) = 150
JPB> Spec
JPB> Constraint = c("minW[1:nAssets]=0", "maxsumW[1:2Assets]=13.63")
JPB> frontier = portfolioFrontier(Data, Spec, Constraint)
JPB> **************Error message begins here***************
JPB> Error in parse(text = constraints[i]) :
JPB> unexpected symbol in "maxsumW[1:2Assets"
JPB> **************Error message ends here******************
JPB>
JPB> -John
Hi John,
you should use 0.1363 instead of 13.63...
hope this helps,
yohan
--
PhD student
Swiss Federal Institute of Technology
Zurich
www.ethz.ch
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