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Help with portfolioData/fPortfolio?

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Help with portfolioData/fPortfolio?

Matt Considine
I am trying to run some Rmetrics code (e.g. feasiblePortfolio,  
frontierPortfolio) using data that is already set up as expected  
returns and a variance/covariance matrix.

The fPortfolio documentation suggests that the "data" argument to  
portfolioData
is

"a time series or a named list, containing either a series of returns or named
entries ?mu? and ?Sigma? being mean and covariance matrix."

Yet when I try to run this on code like this (example in mail archives) :
  #install.packages("MBESS") #for cor2cov
  mu <- c( 0.1, 0.08, 0.065)
  sigma <- c( 0.18, 0.12, 0.09 )

  correlationMatrix <- rbind( c( 1, 0.8, 0.9 ),
                              c( 0.8, 1, 0.75),
                              c( 0.9, 0.75, 1) )

  covarianceMatrix <- cor2cov(correlationMatrix, sigma )

  data = list( mu = mu, Sigma = covarianceMatrix )
  frontier<-portfolioFrontier(data)

I get the message
   Error: class(data) == "timeSeries" is not TRUE

Now obviously I know what the error message means.  But it suggests  
that I am overlooking something such as a parameter or that the doc is  
wrong.  Further down in the documentation there is a description of  
this dataset

Simulated Mean-Cov Data Set:
This data is taken from chapter 1.3.2 in Scherer, M., Martin, R.D.  
(2005); Introduction To Modern Portfolio Optimization with NuOPT,  
S-PLUS and S+Bayes, Springer, Berlin. It is a list of covariance  
matrix and the return means of imaginary assets. It is an example set  
for learning about optimization.

which suggests to mean that I am missing something.

Can anyone tell me
   a) can I run the Rmetrics codes above using mu and Sigma and if so  
what parameters do I need to use or what do I need to do differently?
   b) where can I find the "Simulated Mean-Cov" dataset so that I can  
play with it and otherwise see if I have misformatted my inputs?  Is  
there an example available that I can be pointed to which would show  
how it is used (and which would presumably answer question (a)?

Thank you in advance for any advice, pointers, code, etc.  And  
patience - most of all!

Regards,
Matt Considine

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Help with getSymbols from csv data file

Jun Zhu
I did a simple test to read from csv file using the following commands:
getSymbols('GOOG')write.csv(file='test.csv', data.frame(GOOG) )getSymbols('test',src='csv')head(TEST)
I am puzzled by the result that always show the same date which is 'today'.Any help on this will be greatly appreciated.
thanks,
Jun 
===== result ===============2012-01-27    646.50    647.00   621.23     622.46     5822600        622.462012-01-27    629.75    633.80   616.91     623.14     4395600        623.142012-01-27    623.50    629.39   621.12     625.96     2400000        625.962012-01-27    631.22    632.89   626.50     629.64     1875200        629.642012-01-27    626.26    626.95   621.06     624.99     2307300        624.992012-01-27    631.98    631.98   625.68     628.58     1909300        628.582012-01-27    626.63    634.00   622.12     632.91     2761700        632.912012-01-27    640.99    640.99   631.46     639.57     6276500        639.572012-01-27    590.53    591.00   581.70     585.99    10576300        585.992012-01-27    586.00    588.66   583.16     585.52     3412900        585.522012-01-27    586.32    587.68   578.00    
 580.93     3055800        580.932012-01-27    577.51    578.71   566.38     569.49     4987700        569.492012-01-27    571.98    574.48   564.55     568.10     3226200        568.10




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Re: Help with getSymbols from csv data file

Joshua Ulrich
Hi Jun,

Specifying the date format via setSymbolLookup fixes it.  I'm not sure
if there is a more general solution.

setSymbolLookup(test=list(src="csv",format="%Y-%m-%d"))
getSymbols('test',src='csv')

Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



On Fri, Jan 27, 2012 at 7:40 PM, Jun Zhu <[hidden email]> wrote:

> I did a simple test to read from csv file using the following commands:
> getSymbols('GOOG')write.csv(file='test.csv', data.frame(GOOG) )getSymbols('test',src='csv')head(TEST)
> I am puzzled by the result that always show the same date which is 'today'.Any help on this will be greatly appreciated.
> thanks,
> Jun
> ===== result ===============2012-01-27    646.50    647.00   621.23     622.46     5822600        622.462012-01-27    629.75    633.80   616.91     623.14     4395600        623.142012-01-27    623.50    629.39   621.12     625.96     2400000        625.962012-01-27    631.22    632.89   626.50     629.64     1875200        629.642012-01-27    626.26    626.95   621.06     624.99     2307300        624.992012-01-27    631.98    631.98   625.68     628.58     1909300        628.582012-01-27    626.63    634.00   622.12     632.91     2761700        632.912012-01-27    640.99    640.99   631.46     639.57     6276500        639.572012-01-27    590.53    591.00   581.70     585.99    10576300        585.992012-01-27    586.00    588.66   583.16     585.52     3412900        585.522012-01-27    586.32    587.68   578.00
>  580.93     3055800        580.932012-01-27    577.51    578.71   566.38     569.49     4987700        569.492012-01-27    571.98    574.48   564.55     568.10     3226200        568.10
>
>
>
>
>        [[alternative HTML version deleted]]
>
>
> _______________________________________________
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Re: Help with getSymbols from csv data file

jim green
On 27 January 2012 20:58, Joshua Ulrich <[hidden email]> wrote:
> Hi Jun,
>
> Specifying the date format via setSymbolLookup fixes it.  I'm not sure
> if there is a more general solution.
>
> setSymbolLookup(test=list(src="csv",format="%Y-%m-%d"))
> getSymbols('test',src='csv')

I had the same problem,

it seems to be to make more sense if I can set the format via
setDefaults('getSymbols.csv'....

having to set set the setSymbolLookup for each symbol is too much.

Jim.

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Db
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Re: Help with getSymbols from csv data file

Db
This post has NOT been accepted by the mailing list yet.
see this : automatic setSymbolLookup

http://pastebin.com/qV2xYpSv
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