PortfolioAnalytics 'from' не может быть NA, NaN или бесконечным.

Привет, я получаю эту ошибку, пытаясь оптимизировать портфель для минимальной дисперсии:

Error in seq.default(from = round(min, rounding), to = round(max, rounding),  : 
  'from' cannot be NA, NaN or infinite

Оптимизация работает нормально с использованием области интереса, симплекса и сетки, но все эти методы игнорируют ограничение положения. Та же ошибка на random и DEoptim. Это точный код, который я запускаю:

tickers = c("AMJ", "AMLP", "ASHR", "DIA", "DUST", "DXJ", "EEM", "EFA", 
            "EPI", "ERX", "EWG", "EWI", "EWJ", "EWU", "EWW", "EWY", "EWZ", 
            "FAS", "FAZ", "FEZ", "FXE", "FXI", "FXY", "GDX", "GDXJ", "GLD", 
            "GREK", "HEDJ", "HYG", "IAU", "IBB", "ITB", "IWM", "IYR", "JDST", 
            "JNUG", "KRE", "MDY", "NUGT", "OIH", "QQQ", "SCO", "SDS", "SLV", 
            "SPY", "SSO", "SVXY", "TBT", "TLT", "TNA", "TQQQ", "TZA", "UCO", 
            "UNG", "UPRO", "USO", "UUP", "UVXY", "VIXY", "VWO", "VXX", "XBI", 
            "XHB", "XLB", "XLE", "XLF", "XLI", "XLK", "XLP", "XLU", "XLV", 
            "XLY", "XME", "XOP", "XRT")
data = lapply(tickers, function(sym) {
  getSymbols(sym, src="google", auto.assign=FALSE)
})
close = lapply(data, function(frame) {
  frame[,4]
})
merged = do.call(merge, close)
returns = CalculateReturns(merged)
returns = na.omit(returns)

portfolio = portfolio.spec(assets=colnames(returns))
portfolio = add.constraint(portfolio = portfolio, type="leverage", min_sum=0.99, max_sum=1.01)
portfolio = add.constraint(portfolio, type="position_limit", max_pos=8)
minvar = add.objective(portfolio, type="risk", name="var")
opt = optimize.portfolio(returns, minvar, optimize_method="random")

Вот загруженные пакеты:

R version 3.3.3 (2017-03-06)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows >= 8 x64 (build 9200)

locale:
[1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United States.1252    LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C                           LC_TIME=English_United States.1252    

attached base packages:
[1] parallel  stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
 [1] MASS_7.3-45                   quadprog_1.5-5                Rglpk_0.6-3                  
 [4] slam_0.1-40                   iterators_1.0.8               ROI.plugin.quadprog_0.2-5    
 [7] ROI.plugin.glpk_0.2-5         ROI_0.2-6                     DEoptim_2.2-4                
[10] readr_1.1.1                   quantmod_0.4-8                TTR_0.23-1                   
[13] PortfolioAnalytics_1.0.3636   foreach_1.4.3                 PerformanceAnalytics_1.4.3541
[16] xts_0.9-7                     zoo_1.8-0                    

loaded via a namespace (and not attached):
[1] Rcpp_0.12.10     lattice_0.20-34  codetools_0.2-15 grid_3.3.3       R6_2.2.1         registry_0.3     tools_3.3.3     
[8] hms_0.3          tibble_1.3.0

r mathematical-optimization quantitative-finance
person eadains    schedule 31.05.2017    source источник

Ответы (1)


arrow_upward
2
arrow_downward

Кажется, вам нужно установить ограничения на вес активов. Это можно сделать, добавив ограничение type="box". Я немного переписал код и удалил переменную minvar.

portfolio <- portfolio.spec(assets=colnames(returns))
portfolio <- add.constraint(portfolio = portfolio, type="leverage",
              min_sum=0.99, max_sum=1.01)
portfolio <- add.constraint(portfolio, type="position_limit", max_pos=8)
portfolio <- add.constraint(portfolio, type="box", min=0, max=0.5) # <-------
portfolio <- add.objective(portfolio, type="risk", name="var")
opt <- optimize.portfolio(R=returns, portfolio=portfolio, optimize_method="random")

opt
person Lstat    schedule 01.06.2017