[GSoC-PortA] error in demo_efficient_frontier

[Ross Bennett]

Brian,

That is an error with ROI. The ROI.plugin.quadprog version on CRAN is
broken, the version on R-forge works correctly.

Ross


On Wed, Sep 18, 2013 at 7:54 AM, Brian G. Peterson <brian at braverock.com>wrote:

> I see:
>
> > # mean-var efficient frontier
> > meanvar.ef <- create.EfficientFrontier(R=R, portfolio=meanvar.portf,
> type="mean-StdDev")
> Error in (dir == "<=") | (dir = q = "<") :
>   operations are possible only for numeric, logical or complex types
> > traceback()
> 13: which((dir == "<=") | (dir = q = "<"))
> 12: .quadprog_solve_QP(Q = terms(objective(x))$Q, L =
> terms(objective(x))$L,
>         mat = constraints(x)$L, dir = constraints(x)$dir, rhs =
> constraints(x)$rhs,
>         max = x$maximum)
> 11: SOLVE(x, control)
> 10: ROI_solve(x = opt.prob, solver = "quadprog")
> 9: gmv_opt(R = R, constraints = constraints, moments = moments,
>        lambda = lambda, target = target, lambda_hhi = lambda_hhi,
>        conc_groups = conc_groups)
> 8: optimize.portfolio(R = R, portfolio = portfolio, optimize_method =
> "ROI")
> 7: meanvar.efficient.frontier(**portfolio = portfolio, R = R,
> n.portfolios = n.portfolios,
>        risk_aversion = risk_aversion)
> 6: create.EfficientFrontier(R = R, portfolio = meanvar.portf, type =
> "mean-StdDev") at demo_efficient_frontier.R#42
> 5: eval(expr, envir, enclos)
> 4: eval(ei, envir)
> 3: withVisible(eval(ei, envir))
> 2: source(available, echo = echo, max.deparse.length = Inf, keep.source =
> TRUE,
>        encoding = encoding)
> 1: demo("demo_efficient_frontier"**, ask = FALSE)
>
> I'm pretty sure this is current code.
>
> Thoughts?
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
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