r语言 - 设置投资组合分析框约束时出错

Question

让我们看看我是否可以在您的帮助下解决这个问题。似乎用于优化投资组合PortfolioAnalytics R 包存在错误。很可能是我，但要确定的是，我想看看是否有其他人遇到同样的问题以及可能的解决方案。

为每个资产的最小和最大分配添加约束时，我收到以下错误：

Error in sample.int(length(x), size, replace, prob) : 
  invalid first argument

这是上述错误的代码：

c.min = c(0.10,0.15,0.10,0.50,0.15,0,0,0,0,0)
c.max = c(.20,.20,.20,.20,.20,.20,.20,.20,.20,.20)
port_spec <- add.constraint(portfolio = port_spec,type = "box",enabled = TRUE,min = c.min,
                            max = c.max) #Min Position & Max position

10 是正确的资产数量，当我使用以下代码时，代码运行良好：

port_spec <- add.constraint(portfolio = port_spec,type = "box",enabled = TRUE,min = .00, max = .25) #Min Position & Max position

此外，我正在使用以下链接使用发布者请求的确切语法：发布者文档

以前有人见过这个问题吗？

以下是用于投资组合优化的完整代码：

port_spec <- NULL
port_spec <- portfolio.spec(colnames(returns.monthly))
## Add constraints 
#add constraint "full_invested" portfolio must equal 100% allocation
port_spec <- add.constraint(portfolio = port_spec,type = "weight_sum",min_sum = .97, max_sum = 1.01) 
port_spec <- add.constraint(portfolio = port_spec,type = "long_only")#add constriant "long_only" not allowing the portfolio to go short
c.min = c(0.10,0.15,0.10,0.50,0.15,0,0,0,0,0)
c.max = c(.20,.20,.20,.20,.20,.20,.20,.20,.20,.20)
port_spec <- add.constraint(portfolio = port_spec,type = "box",enabled = TRUE,min = c.min,
                            max = c.max) #Min Posiyion & Max position
port_spec <- add.constraint(port_spec,type = "return",return_target=mean.return)
port_spec <- add.constraint(port_spec,type = "risk",risk_target=mean.risk)
##Add portfolio objectives 
#port_spec <- add.objective(portfolio = port_spec,type = "return",name = "sr_annualized",arguments = list(scale = 12,rfr = .02))
port_spec <- add.objective(portfolio = port_spec,type = "return",name = "mean")
#port_spec <- add.objective(portfolio = port_spec,type = "risk",name = "StdDev")
#port_spec <- add.objective(portfolio = port_spec,type = "risk",name = "ES",arguments = list(p=0.90,method = "gaussian"))

# Add dummy objectives for plotting
port_spec <- add.objective(portfolio = port_spec,type = "risk",name = "StdDev",multiplier=0)
#port_spec <- add.objective(portfolio = port_spec,type = "return",name = "mean",multiplier=0)
print(port_spec)
## Run optimization 
opt <- optimize.portfolio(returns.monthly, portfolio = port_spec,optimize_method="DEoptim",trace = TRUE)

Answer 1

没

关系，我发现了我的问题，如果你对最小值求和，它是 = 1，不允许优化。嗯，嘟嘟!!

不好意思