Question

我是R的新手，遇到了包含一些代码的障碍。我从excel导入时间序列数据，如下所示（下面的缩写版本）完整数据范围是A1：O124，A1 =＆＃34; DATE＆＃34;：

    DATE    MLCIA3CD    ENHG185P    CIBZS1PR    MLCIUKVB
1   2008-01-31  0.001632    -0.000721   0.001985    -0.014482
2   2008-02-29  -0.001620   0.001907    -0.000052   0.003801
3   2008-03-31  0.000657    -0.002661   0.001405    0.021155
4   2008-04-30  0.002729    0.000291    -0.000451   -0.009227
5   2008-05-30  0.000896    0.002460    0.007613    0.002411
6   2008-06-30  0.001253    -0.000667   0.005017    0.022411
7   2008-07-31  0.000790    0.000060    0.001744    0.007149

这是我的代码 - 我为这部分代码打开了更多的库，但我在代码的其他部分使用它们。

#Commodity Strategies
rm(list=ls())
setwd(file.path("G:","R Scripts"))
library("readxl")
library("Matrix")
library("PortfolioAnalytics")
library("zoo")
library("xts")
library("tseries")
library("nloptr")

xx<-file.path("G:","Commodity Strategies Alphas.xlsx")
mreturns<-read_excel(xx,3,range="A1:O124")
mreturns<-data.frame(mreturns)
row.names(mreturns)<-levels(mreturns$date)[mreturns$date]

##Minimum Variance
init.portf.minvar<-portfolio.spec(assets=mreturns)
init.portf.minvar<-add.constraint(portfolio=init.portf.minvar,type="full_investment")
init.portf.minvar<-add.constraint(portfolio=init.portf.minvar,type="long_only")
init.portf.minvar<-add.constraint(portfolio=init.portf.minvar,type="risk",name="StdDev")
init.portf.minvar
**minvar.lo.ROI<-optimize.portfolio(R=mreturns, portfolio=init.portf.minvar,optimize_method="ROI",trace=TRUE)**

#Results
results<-data.frame(as.vector(minvar.lo.ROI$weights))
colnames(results)<-'MinVar'

我收到的三条错误消息是：

> minvar.lo.ROI<-optimize.portfolio(R=mreturns, portfolio=init.portf.minvar,optimize_method="ROI",trace=TRUE)
Error in checkData(R) : 
  The data cannot be converted into a time series.  If you are trying to pass in names from a data object with one column, you should use the form 'data[rows, columns, drop = FALSE]'.  Rownames should have standard date formats, such as '1985-03-15'.

如何将时间序列数据从excel正确导入R进行分析

0 个答案: