CODEWITHSUNDEEP
roptimizationportfolior-portfolioanalytics
Nadhem Zmandar
Nadhem Zmandar

Reputation: 21

How can I use optimize.portfolio from portfolio analytics library

I am trying to use the Portfolio analytics library to create and optimize a portfolio

The first step is to create the portfolio specification

port_spec.minES <- add.objective(portfolio=port_spec, type="risk", name="ES", arguments=list(p=0.925, clean="boudt"))

Than I am running the optimizer

opt_minES <- optimize.portfolio(asset_returns, portfolio = port_spec.minES, optimize_method = "ROI",trace=TRUE )

However I got this error

Error in clean.boudt(na.omit(R[, column, drop = FALSE]), alpha = alpha, : requireNamespace("robustbase", quietly = TRUE) is not TRUE

This is the traceback

5.stop(simpleError(msg, call = if (p <- sys.parent(1L)) sys.call(p)))

4.stopifnot(requireNamespace("robustbase", quietly = TRUE))

3.clean.boudt(na.omit(R[, column, drop = FALSE]), alpha = alpha, ...)

2.Return.clean(R = R, method = clean)

1.optimize.portfolio(asset_returns, portfolio = port_spec.RiskBudgetES, optimize_method = "ROI", trace = TRUE)

Upvotes: 0

Views: 343

Answers (1)

Enrico Schumann
Enrico Schumann

Reputation: 1493

It seems that package robustbaseis not available. You'll need to install it:

install.packages("robustbase")

Upvotes: 1

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