【发布时间】：2016-07-07 10:33:53
【问题描述】：
对不起，如果这是一个愚蠢的问题，但我已经尝试了 3 天来解决这个问题。每次我尝试运行投资组合优化并且无法弄清楚时，我都会收到此错误。
Error in assign(".objectivestorage", list(), envir = as.environment(.storage)) :
object '.storage' not found
我通常在第二个和第三个目标时也会收到此警告：
In addition: Warning message:
In is.na(le) : is.na() applied to non-(list or vector) of type 'NULL'
这是我的代码：
##Import Dataset
setwd("D:\\Dropbox\\FUND - SSIF\\Portfolio Analysis Package")
Stocktrak<- Return.read("SSIF_Data.csv", frequency = "d")
# Create Objects for data and column names
R <- Stocktrak[, 1:17]
colnames(returns) <- c("JEC", "BNS", "AAPL", "PEG", "SLB", "TSM", "HD",
"MON", "GWO", "TOT", "XPH", "CVS", "UNP", "KORS", "GNTX", "NWC", "WFC")
funds <- colnames(R)
# Create an initial portfolio object with leverage and box constraints
init <- portfolio.spec(assets=funds)
init <- add.constraint(portfolio=init, type="leverage", min_sum=0.99, max_sum=1.01)
init <- add.constraint(portfolio=init, type="box", min=0.01, max=0.65)
# Create Objectives for eq_meanETL Portfolio Optimization
eq_meanETL <- add.objective(portfolio=init, type="return", name="mean")
eq_meanETL <- add.objective(portfolio=eq_meanETL, type="risk", name="ETL", arguments=list(p=0.95))
eq_meanETL <- add.objective(portfolio=eq_meanETL, type="risk_budget", name="ETL", min_concentration=TRUE, arguments=list(p=0.95))
# Optimize Portfolio
opt_eq_meanETL <- optimize.portfolio(R=R, portfolio=eq_meanETL, optimize_method="DEoptim", search_size=2000, trace=TRUE, traceDE=5)
【问题讨论】：
-
我无法重现您的错误/警告。该代码适用于我的模拟回报
nrs=600 Stocktrak=matrix(rnorm(nrs*17,0.1,0.05),nrow = nrs) #set any date Stocktrak<- as.xts(Stocktrak,order.by = seq.Date(from=as.Date("2016-03-21")-nrs,by=1,length.out =nrs )) R <- Stocktrak[, 1:17] colnames(R) <- c("JEC", "BNS", "AAPL", "PEG", "SLB", "TSM", "HD", "MON", "GWO", "TOT", "XPH", "CVS", "UNP", "KORS", "GNTX", "NWC", "WFC") funds <- colnames(R)
标签： r optimization finance portfolio