Hi Mukesh,
Glad to see someone using BLCOP.
You didn't provide a reproducible example so I assume you got a result list complete from optimalPortfolios.fPort() and wanted to obtain details of all the 10 simulations.
Short answer to your question: the function only renders the optimal value which is the mean of simulations. It is a wrapper of efficientPortfolio functions(minriskPortfolio in your example) from package fPortfolio. I believe looking deep at the source of optimalPortfolios.fPort, structure of result and slot details would help.
Best regards,
Ava
-----Original Message-----
From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of mukesh surywanshi
Sent: 03 March 2015 06:34
To: r-help at r-project.org
Subject: [R] Frontier efficient using black litterman model In R
Hi
I'm working on getting frontier efficient plot using Black Litterman model.
I have used Blcop package and its function
optimalPortfolio.optim()
using this i have got optimal risk and return with weights
If i want to get 10 portfolio risk and return with corresponding weights,,, how to do it>?
can anyone help me....
my code goes like this
posterior <- posteriorEst(views, tau = 0.025, meanret, covar)
cons <- c("minW[1:numtk] = rep(0, times = numtk)", "maxW[1:numtk] = rep(0.50, times = numtk)","minsumW[1:numtk] = 0","maxsumW[1:numtk] = 1") #"listF = list(lowerExtension, upperExtension)")
res1<-optimalPortfolios.fPort(posterior,
spec=portfolioSpec(),constraints=cons,optimizer = "minriskPortfolio",numSimulations = 10)
Thanks
MUKESH
______________________________________________
R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
--
LEGAL NOTICE\ \ This message is intended for the use of ...{{dropped:18}}