[R] fPortfolio-portfolio optimization

Hello everyone, I have been spending many hours on a seemingly simple portfolio optimization problem using the package fPortfolio. My optimization problem is slightly different than a standard one such that I have a known set of asset returns. My problem is how to collect this information int

[R] Rolling optimization

Hello everyone, I would like assistance with a snippet I have written to do a recursive portfolio optimization given time-varying return forecasts. In my case, I have forecast the monthly returns for nearly 55 years out on 8 asset classes. I need to calculate the weights for the optimal (

Re: [R] rolling regression

Hello everyone, I would like assistance with updating a snippet I have written to do a recursive out-of-sample portfolio optimization. The trouble I am having is with the fact that the return on the riskless asset is time varying and so is different in each period. This is what I have writt

Re: [R] rolling regression

t variables) > > Michael Weylandt > > On Sun, Oct 2, 2011 at 11:41 PM, Darius H wrote: > > > > Dear all, > > > > I have spent the last few days on a seemingly simple and previously > > documented rolling regression. > > > > I have a 60 yea

[R] rolling regression

Dear all, I have spent the last few days on a seemingly simple and previously documented rolling regression. I have a 60 year data set organized in a ts matrix. The matrix has 5 columns; cash_ret, epy1, ism1, spread1, unemp1 I have been able to come up with the following based on previous hel

[R] predict() function on a list made up of a system of equations

Hi everyone, Does anyone know how I can use the predict() function or anything similar in a various packages to forecast future values of a system of equations in a list? I keep getting an error message when I try to use the predict function and I cannot find anything on the help arc

[R] AIC or AICc for a system of equations

Hi all, does anyone know of a function that would calculate AIC or AICc for a system of equations. I have several systems and I have individual AIC values but I need a global one to assess amongst several systems of equations. The systems are very similar to, but not exactly like VAR groups of

[R] Writing multiple regression in one function

Hello all, I am newbie to R and have not been able to find too much stuff on a version of VAR(p) I am working on. Would someone be able to tell me if there is a more elegant way of writing A function for the following? Many thanks in advance. Darius I am regressing returns of 8 asset classes