PortfolioAnalytics「從」不能是NA大，NaN，或無窮大

你好我得到這個錯誤試圖優化投資組合的最小方差：PortfolioAnalytics「從」不能是NA大，NaN，或無窮大

Error in seq.default(from = round(min, rounding), to = round(max, rounding), : 
    'from' cannot be NA, NaN or infinite

優化利用的投資回報率，單純，和電網運行正常，但所有這些方法都忽略了位置約束。隨機和DEoptim同樣的錯誤。這是我運行的確切代碼：

tickers = c("AMJ", "AMLP", "ASHR", "DIA", "DUST", "DXJ", "EEM", "EFA", 
      "EPI", "ERX", "EWG", "EWI", "EWJ", "EWU", "EWW", "EWY", "EWZ", 
      "FAS", "FAZ", "FEZ", "FXE", "FXI", "FXY", "GDX", "GDXJ", "GLD", 
      "GREK", "HEDJ", "HYG", "IAU", "IBB", "ITB", "IWM", "IYR", "JDST", 
      "JNUG", "KRE", "MDY", "NUGT", "OIH", "QQQ", "SCO", "SDS", "SLV", 
      "SPY", "SSO", "SVXY", "TBT", "TLT", "TNA", "TQQQ", "TZA", "UCO", 
      "UNG", "UPRO", "USO", "UUP", "UVXY", "VIXY", "VWO", "VXX", "XBI", 
      "XHB", "XLB", "XLE", "XLF", "XLI", "XLK", "XLP", "XLU", "XLV", 
      "XLY", "XME", "XOP", "XRT") 
data = lapply(tickers, function(sym) { 
    getSymbols(sym, src="google", auto.assign=FALSE) 
}) 
close = lapply(data, function(frame) { 
    frame[,4] 
}) 
merged = do.call(merge, close) 
returns = CalculateReturns(merged) 
returns = na.omit(returns) 

portfolio = portfolio.spec(assets=colnames(returns)) 
portfolio = add.constraint(portfolio = portfolio, type="leverage", min_sum=0.99, max_sum=1.01) 
portfolio = add.constraint(portfolio, type="position_limit", max_pos=8) 
minvar = add.objective(portfolio, type="risk", name="var") 
opt = optimize.portfolio(returns, minvar, optimize_method="random")

這裏正在加載的包：

R version 3.3.3 (2017-03-06) 
Platform: x86_64-w64-mingw32/x64 (64-bit) 
Running under: Windows >= 8 x64 (build 9200) 

locale: 
[1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252 LC_MONETARY=English_United States.1252 
[4] LC_NUMERIC=C       LC_TIME=English_United States.1252  

attached base packages: 
[1] parallel stats  graphics grDevices utils  datasets methods base  

other attached packages: 
[1] MASS_7.3-45     quadprog_1.5-5    Rglpk_0.6-3     
[4] slam_0.1-40     iterators_1.0.8    ROI.plugin.quadprog_0.2-5  
[7] ROI.plugin.glpk_0.2-5   ROI_0.2-6      DEoptim_2.2-4     
[10] readr_1.1.1     quantmod_0.4-8    TTR_0.23-1     
[13] PortfolioAnalytics_1.0.3636 foreach_1.4.3     PerformanceAnalytics_1.4.3541 
[16] xts_0.9-7      zoo_1.8-0      

loaded via a namespace (and not attached): 
[1] Rcpp_0.12.10  lattice_0.20-34 codetools_0.2-15 grid_3.3.3  R6_2.2.1   registry_0.3  tools_3.3.3  
[8] hms_0.3   tibble_1.3.0

來源

2017-05-31 eadains

看來你需要在資產的權重設定界限。這可以通過添加type="box"約束來完成。我已經重寫了一些代碼並刪除了變量minvar。

portfolio <- portfolio.spec(assets=colnames(returns)) 
portfolio <- add.constraint(portfolio = portfolio, type="leverage", 
       min_sum=0.99, max_sum=1.01) 
portfolio <- add.constraint(portfolio, type="position_limit", max_pos=8) 
portfolio <- add.constraint(portfolio, type="box", min=0, max=0.5) # <------- 
portfolio <- add.objective(portfolio, type="risk", name="var") 
opt <- optimize.portfolio(R=returns, portfolio=portfolio, optimize_method="random") 

opt

來源

2017-06-01 08:27:02 Lstat

PortfolioAnalytics「從」不能是NA大，NaN，或無窮大

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