Some problems while reading Diethelm Würtz's Portfolio Optimization with R book

Two or three follow up questions to your reply:

1.? package PortfolioAnalytics date is 2015, so does not seem to have been
updated for a while too. But still the package to go for optimization?
2. I am currently looking for a good package for backtesting strategies. I
am still working through the recommended packages from the list in view
"empirical finance" (excellent overview btw). Which package(s) would you
recommend for backtesting?

My (prelimenary) assessment of

1. package "backtest": not to be used because not many functions, only
basics of backtesting are covered.

2. package: "STI" : not to be used because difficult to install, almost no
documentation, last update in 2012

3. package: "TTR" : very useful!

4. package: "quantstrat" : very useful


Any experience and/or evaluation of the following packages (that I still
have on my work through list) would be highly appreciated:

package: "portfolioSim"
package: "pbo"
package: "portfolio":
package: "factorAnalytics"


It seems to me that "quantstrat" is the package to go for. However,
documentation is sparse and spread around various sites. Any suggestions
for additional sources (outside Guy Yollin) are welcome too.

Cheers,
Oliver

*Gesendet:* Sonntag, 27. August 2017 um 15:41 Uhr
*Von:* "Brian G. Peterson" <brian at braverock.com>
*An:* r-sig-finance at r-project.org
*Betreff:* Re: [R-SIG-Finance] Some problems while reading Diethelm
W?rtz's Portfolio Optimization with R book
Regrettably, Diethelm died in a car accident last year. He is missed by
many in this community who appreciated his advice, openness, and
fostering of the community.

fPortfolio has not been updated for some time. I would suggest looking
at Berhard Pfaff's excellent risk and portfolio management book, as well
as at packages such as PortfolioAnalytics for actually doing portfolio
optimization in R.

I still refer to Diethelm's book for ideas and visualizations, but I do
not use that code.

Regards,

Brian

On 08/27/2017 08:35 AM, Baki UNAL via R-SIG-Finance wrote:

Hello
I am reading Diethelm W?rtz's Portfolio Optimization with R book. I

encountered a problem at "17.2 How to Compute a Minimum Risk Efficient
Portfolio" part. I entered the commands:

minriskSpec <- portfolioSpec()> targetReturn <-

getTargetReturn(ewPortfolio at portfolio)["mean"]>
setTargetReturn(minriskSpec) <- targetReturn

minriskPortfolio <- efficientPortfolio(data = lppData,spec =

minriskSpec,constraints = "LongOnly")> print(minriskPortfolio)

But I got the following output:


Title: MV Efficient Portfolio Estimator: covEstimator Solver:

solveRquadprog Optimize: minRisk Constraints: LongOnly

Portfolio Weights:SBI SPI SII LMI MPI ALT 0 0 0 0 0 0
Covariance Risk Budgets:SBI SPI SII LMI MPI ALT
Target Returns and Risks:mean Cov CVaR VaR 0 0 0 0
Description: Sun Aug 27 16:00:42 2017 by user: win7120

As you notice R does not compute Portfolio Weights, Target Returns and

Risks... etc.

I also tried to run the code at "17.3 How to Compute the Global Minimum

Variance Portfolio" which is:

globminSpec <- portfolioSpec()> globminPortfolio <-

minvariancePortfolio(data = lppData,spec = globminSpec,constraints =
"LongOnly")> print(globminPortfolio)

But I got the following output:

Title:
MV Minimum Variance Portfolio
Estimator: covEstimator
Solver: solveRquadprog
Optimize: minRisk
Constraints: LongOnly

Portfolio Weights:
SBI SPI SII LMI MPI ALT
0 0 0 0 0 0

Covariance Risk Budgets:
SBI SPI SII LMI MPI ALT


Target Returns and Risks:
mean Cov CVaR VaR
0 0 0 0

Description:
Sun Aug 27 16:12:21 2017 by user: win7120



As you see R does not make computations again.

I also tried to run the code at "17.4 How to Compute the Tangency

Portfolio" which is:

tgSpec <- portfolioSpec()> setRiskFreeRate(tgSpec) <- 0

tgPortfolio <- tangencyPortfolio(data = lppData,spec =

tgSpec,constraints = "LongOnly")

This time I got the following error:


Error in if (STATUS != 0) { : argument is of length zero

What may be the problem? Could you help?
Thanks







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should go.

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973 <(773)%20459-4973>
IM: bgpbraverock