CODEWITHSUNDEEP
rr-portfolioanalytics
Tanvir Khan
Tanvir Khan

Reputation: 113

optimize.portfolio in R PorftolioAnalytics producing ony NA

I am trying to optimize the edhec data with the following code, but getting only NAs as optimized weights

    library(openxlsx)
    library(PortfolioAnalytics)
    library(PerformanceAnalytics)
    library(plyr)
    library(dplyr)
    library(reshape2)
    library(ROI)
    library(ggplot2)
    library(plotly)
    library(car)
    library(quantmod)
    library(quadprog)
    library(ROI.plugin.symphony)
    require(ROI.plugin.glpk)
    require(ROI.plugin.quadprog)
    library(ROI.plugin.lpsolve)
    library(Rglpk)
    library(DEoptim)
    library(fGarch)
    library(pso)
    library(GenSA)
    library(nloptr)

    data(edhec)
    returns <- edhec[, 1:4]
    colnames(returns) <- c("CA", "CTAG", "DS", "EM")
    funds <- colnames(returns)

    portf_maxret <- portfolio.spec(assets=funds)
    portf_maxret <- add.constraint(portfolio=portf_maxret, type="return", return_target=.0075)
    portf_maxret<-add.objective(portfolio=portf_maxret, type="risk", name="StdDev")
    opt_maxret <- optimize.portfolio(R=returns, portfolio=portf_maxret,optimize_method="ROI", trace=TRUE)

The output of opt_maxret is

***********************************
PortfolioAnalytics Optimization
***********************************

Call:
optimize.portfolio(R = returns, portfolio = portf_maxret, optimize_method = "ROI", 
    trace = TRUE)

Optimal Weights:
  CA CTAG   DS   EM 
  NA   NA   NA   NA 

Objective Measure:
StdDev 
    NA

The same is happening with any data and happening only if I am trying to set type="risk"in optimize.portfolio i.e. trying to optimize the portfolio according to the risk associated with it.

Upvotes: 1

Views: 555

Answers (1)

erota
erota

Reputation: 21

The propblem may be caused when you try to give the same name to your portfolios in the line: 

portf_maxret<-add.objective(portfolio=portf_maxret, type="risk", name="StdDev")

Try to change portf_maxret into something else and use that as your portfolio name in optimization

Upvotes: 1

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