still in active use and we are committed to maintaining it. In my opinion,

PortfolioAnalytics is the goto package for portfolio optimization... I am a

coauthor of the package so my opinion is biased.

For a backtesting package, I highly recommend quantstrat. It was built by

and is used by professional traders. The demos are a good place to start

for learning how to use the package.

> Two or three follow up questions to your reply:

>

> 1. package PortfolioAnalytics date is 2015, so does not seem to have been

> updated for a while too. But still the package to go for optimization?

> 2. I am currently looking for a good package for backtesting strategies. I

> am still working through the recommended packages from the list in view

> "empirical finance" (excellent overview btw). Which package(s) would you

> recommend for backtesting?

>

> My (prelimenary) assessment of

>

> 1. package "backtest": not to be used because not many functions, only

> basics of backtesting are covered.

>

> 2. package: "STI" : not to be used because difficult to install, almost no

> documentation, last update in 2012

>

> 3. package: "TTR" : very useful!

>

> 4. package: "quantstrat" : very useful

>

>

> Any experience and/or evaluation of the following packages (that I still

> have on my work through list) would be highly appreciated:

>

> package: "portfolioSim"

> package: "pbo"

> package: "portfolio":

> package: "factorAnalytics"

>

>

> It seems to me that "quantstrat" is the package to go for. However,

> documentation is sparse and spread around various sites. Any suggestions

> for additional sources (outside Guy Yollin) are welcome too.

>

> Cheers,

> Oliver

>

> *Gesendet:* Sonntag, 27. August 2017 um 15:41 Uhr

> *Von:* "Brian G. Peterson" <

[hidden email]>

> *An:*

[hidden email]> *Betreff:* Re: [R-SIG-Finance] Some problems while reading Diethelm

> Würtz's Portfolio Optimization with R book

> Regrettably, Diethelm died in a car accident last year. He is missed by

> many in this community who appreciated his advice, openness, and

> fostering of the community.

>

> fPortfolio has not been updated for some time. I would suggest looking

> at Berhard Pfaff's excellent risk and portfolio management book, as well

> as at packages such as PortfolioAnalytics for actually doing portfolio

> optimization in R.

>

> I still refer to Diethelm's book for ideas and visualizations, but I do

> not use that code.

>

> Regards,

>

> Brian

>

> On 08/27/2017 08:35 AM, Baki UNAL via R-SIG-Finance wrote:

> > Hello

> > I am reading Diethelm Würtz's Portfolio Optimization with R book. I

> encountered a problem at "17.2 How to Compute a Minimum Risk Efficient

> Portfolio" part. I entered the commands:

> >

> >> minriskSpec <- portfolioSpec()> targetReturn <-

> getTargetReturn(

[hidden email])["mean"]>

> setTargetReturn(minriskSpec) <- targetReturn

> >> minriskPortfolio <- efficientPortfolio(data = lppData,spec =

> minriskSpec,constraints = "LongOnly")> print(minriskPortfolio)

> >

> >

> >

> > But I got the following output:

> >

> >

> > Title: MV Efficient Portfolio Estimator: covEstimator Solver:

> solveRquadprog Optimize: minRisk Constraints: LongOnly

> > Portfolio Weights:SBI SPI SII LMI MPI ALT 0 0 0 0 0 0

> > Covariance Risk Budgets:SBI SPI SII LMI MPI ALT

> > Target Returns and Risks:mean Cov CVaR VaR 0 0 0 0

> > Description: Sun Aug 27 16:00:42 2017 by user: win7120

> >

> > As you notice R does not compute Portfolio Weights, Target Returns and

> Risks... etc.

> > I also tried to run the code at "17.3 How to Compute the Global Minimum

> Variance Portfolio" which is:

> >

> >> globminSpec <- portfolioSpec()> globminPortfolio <-

> minvariancePortfolio(data = lppData,spec = globminSpec,constraints =

> "LongOnly")> print(globminPortfolio)

> >

> > But I got the following output:

> >

> > Title:

> > MV Minimum Variance Portfolio

> > Estimator: covEstimator

> > Solver: solveRquadprog

> > Optimize: minRisk

> > Constraints: LongOnly

> >

> > Portfolio Weights:

> > SBI SPI SII LMI MPI ALT

> > 0 0 0 0 0 0

> >

> > Covariance Risk Budgets:

> > SBI SPI SII LMI MPI ALT

> >

> >

> > Target Returns and Risks:

> > mean Cov CVaR VaR

> > 0 0 0 0

> >

> > Description:

> > Sun Aug 27 16:12:21 2017 by user: win7120

> >

> >

> >

> > As you see R does not make computations again.

> >

> > I also tried to run the code at "17.4 How to Compute the Tangency

> Portfolio" which is:

> >

> >> tgSpec <- portfolioSpec()> setRiskFreeRate(tgSpec) <- 0

> >

> >> tgPortfolio <- tangencyPortfolio(data = lppData,spec =

> tgSpec,constraints = "LongOnly")

> >

> > This time I got the following error:

> >

> >

> > Error in if (STATUS != 0) { : argument is of length zero

> >

> > What may be the problem? Could you help?

> > Thanks

> >

> >

> >

> >

> >

> >

> >

> > [[alternative HTML version deleted]]

> >

> > _______________________________________________

> >

[hidden email] mailing list

> >

https://stat.ethz.ch/mailman/listinfo/r-sig-finance> > -- Subscriber-posting only. If you want to post, subscribe first.

> > -- Also note that this is not the r-help list where general R questions

> should go.

> >

>

>

> --

> Brian G. Peterson

>

http://braverock.com/brian/> Ph: 773-459-4973 <(773)%20459-4973>

> IM: bgpbraverock

>

> _______________________________________________

>

[hidden email] mailing list

>

https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first.

> -- Also note that this is not the r-help list where general R questions

> should go.

>

> _______________________________________________

>

[hidden email] mailing list

>

https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first.

> -- Also note that this is not the r-help list where general R questions

> should go.

>

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