[Fwd: RE: fPortfolioSolver Issues]

To the list, in case any one else has insight for Todd.

You would probably need to produce a list of what you're doing, the actual 
shell commands, and the output of 'R CMD build'

If I were you, I'd probably CC whoever is listed as the maintainer for the 
package as well, as not everyone monitors this list every day.

Cheers,

   - Brian

-------- Original Message --------
Subject: RE: [R-SIG-Finance] fPortfolioSolver Issues
Date: Fri, 15 Jan 2010 00:46:37 -0500
From: Todd Chadwick <ctchadwick at hotmail.com>
To: 'Brian G. Peterson' <brian at braverock.com>
References: <SNT133-ds3DF28D00D1618B72E2A40C06A0 at phx.gbl> 
<4B4F0E32.4030502 at braverock.com>

Thanks for the response Brian,

I haven't thought to test it out on Linux which I can do, but it will limit
me when it comes to handing some things off to a client I am putting things
together for.  Currently there isn't a Windows binary on the Rforge site for
the fPortfolioSolver, so that's why I'm installing it from the sources.  I
haven't had any problems with doing this for other packages without
binaries, but for some reason that's not clear it gets hung up when doing
this package.  I was thinking it has something to do with some problems with
some of the dependencies, but it's usually good telling you something is
missing.  With this one, it just stops in mid process.  I wouldn't be
surprised if it was all a Windows thing.

If you have any insights, pass them along.  Thank man,

todd



-----Original Message-----
From: Brian G. Peterson [mailto:brian at braverock.com]
Sent: Thursday, January 14, 2010 7:30 AM
To: Todd Chadwick; R-SIG-Finance mailing list
Subject: Re: [R-SIG-Finance] fPortfolioSolver Issues

I'm wondering if any of you are using any of the solvers in the
fPortfolioSolver by the RMetrics chaps?  I've been trying to install the
package via RCMD from the source on my Windows XP machine (running R

2.10.1)

and it gets hung up during the process.  I am really interested in using

the

second-order cone programming optimizer wrapper they provide (working on
getting a max return optimized portfolio for given target risk).
  

The fPortfolioSolver examples for

solveRsocp

and

solveRqpqc


works for me on linux.  I don't have time to test on Windows, as I don't
use that environment for R.

I am wondering why you are trying to install from source on Windows,
rather than using the binary zip from R-Forge available here:

http://r-forge.r-project.org/R/?group_id=156

I feel sure there are several ways to do things.  My apologies for

burdening

the list with my rusty operations research skills.   Any help is certainly
appreciated, and let me know if more info is needed about my install

issues.

If Dr. Wuertz or any of the RMetrics team can chime in, even better.  
  

If the optimization problem you are hoping to solve is amenable to a
conical solver, then fPortfolioSolver will be the fastest at finding a
solution.

If, however, you have complex constraints that are not amenable to the
quadratic, linear, and conical constraint and objective structure in the
RMetrics packages, the PortfolioAnalytics package may be able to let you
construct a more arbitrary set of constraints and objectives.

When I get some time, I hope to make the specifications interoperable,
as well.

Regards,

     - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock