[R-SIG-Finance] fPortfolio

[Bastian Offermann]

Nobody?? I am wondering what the problem is. Using different inputs for 
setRiskFreeRate(Spec)  I always get the same output (i.e. same weights). 
And there is never an allocation to the riskfree asset no matter what my 
required return is? Where is my mistake? Am I totally wrong here??

Thanks.

Regards

B


Hello,

i have encountered a problem with fPortfolio recently. I am using below 
code:

the problem is that my risk free rate is different from the one 
displayed in the graphical output and the straight line in the graphical 
output intersects the efficient frontier twice. same problem when i use 
"cmlLines(eff.front)" .what am i missing out on?

THanks.

Data1 <- as.timeSeries(Data1)
Data1 <- as.timeSeries(data(LPP2005REC))
Data1 <- Data1[,1:4]*250

r.p <- 0.10
r.rf <- 0.01

Spec <- portfolioSpec()
restr <- c("Short", "LongOnly")
cons <- restr[1]
setOptimize(Spec) <- "minRisk"
setRiskFreeRate(Spec) <- r.rf #/250
setTargetReturn(Spec) <- r.p #/250
setNFrontierPoints(Spec) <- 50
solver <- c("solveRquadprog", "solveRshortExact")
if(cons == "LongOnly") { setSolver(Spec) <- solver[1] }
if(cons == "Short") { setSolver(Spec) <- solver[2] }

eff.front <- portfolioFrontier(data = Data1, spec = Spec, constraints = 
cons)
eff.port <- efficientPortfolio(data = Data1, spec = Spec, constraints = 
cons)
tang.port <- tangencyPortfolio(data = Data1, spec = Spec, constraints = 
cons)
minvar.port <- minvariancePortfolio(data = Data1, spec = Spec, 
constraints = cons)
w <- as.vector(getWeights(eff.port))
w <- matrix(w, 1, ncol(Data1))
w.min <- as.vector(getWeights(minvar.port))
w.min <- matrix(w.min, 1, ncol(Data1))
w
w.min
frontierPlot(eff.front, frontier = "upper", return="mu", risk="Sigma", 
type="l")
minvariancePoints(eff.front, col="red", bg="red", pch=21)
tangencyLines(eff.front)
tangencyPoints(eff.front)