Hello Felipe, I am not an expert in fPortfolio, so I can't tell you with 100% certainty if its working or not. I tried for a while and didn't get it running with the portfolio package. Maximizing the return is more complex than the min Variance program... I have two suggestions: 1. Create efficient frontier (with lets say 1000 or 2000 points) and then determine a portfolio on that frontier which is closest to your target sigma. The function could be portspec <- portfolioSpec() setNFrontierPoints (portspec) <- 2000 portfolio <- portfolioFrontier(DATA,portspec,"LongOnly") Remember that you don't want to end up in the lower branch... :-) 2. Solve it with a heuristic (e.g. DEoptim - see my last thread). But I just started using it. Lui On Mon, Jan 24, 2011 at 10:52 PM, Luis Felipe Parra
<felipe.parra at quantil.com.co> wrote:
Hello I am using the fPortfolio package and I see there is the option in the model slot "objRisk" which permits the user to define its own objective function. I have the ebook Portfolio Optimization with Rmetrics and there it says examples on this option are on the advanced version of the book, which I looked on the Rmetrics webpage and apparently it doesn't exist yet. Does anybody have an example or knows where can I find an example of the usage of this option. How can I define my own objective function to optimize? Thank you Felipe Parra* * ? ? ? ?[[alternative HTML version deleted]]
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