Question

我正在尝试使用以下代码优化edhec数据，但只获得NAs作为优化权重

    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)

opt_maxret的输出是

***********************************
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

任何数据都会发生同样的情况，只有当我尝试在type="risk"中设置optimize.portfolio时才会发生这种情况，即根据与之相关的风险尝试优化投资组合。

Answer 1

当你试图在你的投资组合中给出相同的名称时，可能会引起这个问题：

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

尝试将portf_maxret更改为其他内容，并将其用作优化中的投资组合名称

R PorftolioAnalytics中的optimize.portfolio生成ony NA

1 个答案: