portfolio

I want to reallocate a strategy portfolio at specific dates: require(PerformanceAnalytics) require(TTR) require(quantmod) Get asset prices and obtain the daily discrete Returns tickers = c("ABI.BR","AI.PA","AIR.PA","ALV.DE","ASML.AS") getSymbols(tickers, from="2012-01-01", to="2013-12-01") close.prices = do.call(merge, lapply(tickers, function(x) Cl(get(x)))) colnames(close.prices) = c("Anheuser-Busch InBev", "L'Air Liquide","AIRBUS GROUP","Allianz","ASML HLDG") assets.ret = ROC(close.prices,type="discrete")[-1] Now I obtain RSI signals by applying the RSI function to each asset rsi.fct =

This might be an insignificant question but unfortunately I'm unable to solve it. I have a portfolio of stocks of 50 companies. I have the dates and the closing prices on that particular day for each of the companies. Data for each company varies with respect to the date from which the stock is being traded. I used this code for calculating the daily returns: return=matrix(NA,nrow(companies),ncol(companies)-1) for (j in 2:52){ k=0 for (i in 1:nrow(companies)){ if (!is.na(companies[i,j]) & k==0) { base= companies[i,j] k=k+1 } else {if ( k==1) {return[i,j-1] = ((companies[i,j]-base)/base)*100}

The documentation for portfolio.optim {tseries} says that solve.QP {quadprog} is used to generate the solution for finding the tangency portfolio that maximizes the Sharpe ratio. That implies that results should be identical with either function. I'm probably overlooking something, but in this simple example I get similar but not identical solutions for estimating optimal portfolio weights with portfolio.optim and solve.QP. Shouldn't the results be identical? If so, where am I going wrong? Here's the code: library(tseries) library(quadprog) # 1. Generate solution with solve.QP via: comisef

With a lot of help from contributors to StackOverflow I have managed to put together a function to derive the weights of a 2-asset portfolio which maximises the Sharpe ratio. No short sales are allowed and the sum of weights add to 1. What I would like to do now is to constrain asset A to not being more or less than 10% from a user defined weight. As an example I would like to constrain the weight of asset A to be no less than 54% or more than 66% (i.e 60% +/- 10%). So on the below example I would end up with weights of (0.54,0.66) instead of the unsconstrained (0.243,0.7570) .I assume this