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</o:shapelayout></xml><![endif]--></head><body lang=EN-US link=blue vlink=purple><div class=WordSection1><p class=MsoNormal><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'>Brian,<o:p></o:p></span></p><p class=MsoNormal><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'>Do I recall correctly that this is an old problem from last year that Theussel, etc., was informed about but never fixed?<o:p></o:p></span></p><p class=MsoNormal><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'>Doug<o:p></o:p></span></p><p class=MsoNormal><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-size:11.0pt;font-family:"Calibri","sans-serif";color:#1F497D'><o:p> </o:p></span></p><p class=MsoNormal><b><span style='font-size:10.0pt;font-family:"Tahoma","sans-serif"'>From:</span></b><span style='font-size:10.0pt;font-family:"Tahoma","sans-serif"'> gsoc-porta-bounces@lists.r-forge.r-project.org [mailto:gsoc-porta-bounces@lists.r-forge.r-project.org] <b>On Behalf Of </b>Ross Bennett<br><b>Sent:</b> Wednesday, September 18, 2013 8:07 AM<br><b>To:</b> PortfolioAnalytics<br><b>Subject:</b> Re: [GSoC-PortA] error in demo_efficient_frontier<o:p></o:p></span></p><p class=MsoNormal><o:p> </o:p></p><div><p class=MsoNormal>Brian,<o:p></o:p></p><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>That is an error with ROI. The ROI.plugin.quadprog version on CRAN is broken, the version on R-forge works correctly.<o:p></o:p></p></div><div><p class=MsoNormal><o:p> </o:p></p></div><div><p class=MsoNormal>Ross<o:p></o:p></p></div></div><div><p class=MsoNormal style='margin-bottom:12.0pt'><o:p> </o:p></p><div><p class=MsoNormal>On Wed, Sep 18, 2013 at 7:54 AM, Brian G. Peterson <<a href="mailto:brian@braverock.com" target="_blank">brian@braverock.com</a>> wrote:<o:p></o:p></p><p class=MsoNormal>I see:<br><br>> # mean-var efficient frontier<br>> meanvar.ef <- create.EfficientFrontier(R=R, portfolio=meanvar.portf, type="mean-StdDev")<br>Error in (dir == "<=") | (dir = q = "<") :<br> operations are possible only for numeric, logical or complex types<br>> traceback()<br>13: which((dir == "<=") | (dir = q = "<"))<br>12: .quadprog_solve_QP(Q = terms(objective(x))$Q, L = terms(objective(x))$L,<br> mat = constraints(x)$L, dir = constraints(x)$dir, rhs = constraints(x)$rhs,<br> max = x$maximum)<br>11: SOLVE(x, control)<br>10: ROI_solve(x = opt.prob, solver = "quadprog")<br>9: gmv_opt(R = R, constraints = constraints, moments = moments,<br> lambda = lambda, target = target, lambda_hhi = lambda_hhi,<br> conc_groups = conc_groups)<br>8: optimize.portfolio(R = R, portfolio = portfolio, optimize_method = "ROI")<br>7: meanvar.efficient.frontier(portfolio = portfolio, R = R, n.portfolios = n.portfolios,<br> risk_aversion = risk_aversion)<br>6: create.EfficientFrontier(R = R, portfolio = meanvar.portf, type = "mean-StdDev") at demo_efficient_frontier.R#42<br>5: eval(expr, envir, enclos)<br>4: eval(ei, envir)<br>3: withVisible(eval(ei, envir))<br>2: source(available, echo = echo, max.deparse.length = Inf, keep.source = TRUE,<br> encoding = encoding)<br>1: demo("demo_efficient_frontier", ask = FALSE)<br><br>I'm pretty sure this is current code.<br><br>Thoughts?<span style='color:#888888'><br><br><span class=hoenzb>-- </span><br><span class=hoenzb>Brian G. Peterson</span><br><span class=hoenzb><a href="http://braverock.com/brian/" target="_blank">http://braverock.com/brian/</a></span><br><span class=hoenzb>Ph: <a href="tel:773-459-4973" target="_blank">773-459-4973</a></span><br><span class=hoenzb>IM: bgpbraverock</span><br><span class=hoenzb>_______________________________________________</span><br><span class=hoenzb>GSoC-PortA mailing list</span><br><span class=hoenzb><a href="mailto:GSoC-PortA@lists.r-forge.r-project.org" target="_blank">GSoC-PortA@lists.r-forge.r-project.org</a></span><br><span class=hoenzb><a href="http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta" target="_blank">http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/gsoc-porta</a></span></span><o:p></o:p></p></div><p class=MsoNormal><o:p> </o:p></p></div></div></body></html>