PortfolioAnalytics
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braverock
asset names need to be available in `proxy.return.portfolio` for subsetting market data by asset name. In all other portfolio specifications, the asset names of the portfolio are available as `names(portfolio$assets`....
There is a bug in `optimize.portfolio.rebalancing` that passes the incorrect portfolio to `proxy.mult.portfolio`.
We have realized the function of using CVXR solvers in PortfolioAnalytics, which will expand the types of optimization that PortfolioAnalytics can solve, especially the Expected Quadratic Shortfall(EQS) problems that requires...
I completed R CMD check beyond vignettes, and fixed some Warnings and Notes generated from my functions
The new CVXR method introduced a bug when reading the `optimize_method` user input. This happens if the uses CVXR and defines an optimizer (e.g., `c("CVXR", "SCS")`). The expectation is that...
Running the example from the vignette (see code below) produces an error: `Error in Variable(N) : could not find function "Variable"`. It appears that `optimize.portfolio` uses `Variable()` function from the...
By reading the document, I found the B matrix/vector, i.e., the “Factor Exposure Matrix”, seemed to be fixed, if the factor exposure constraint would be applied. But if I’d like...
I am running various tests to be able to upgrade my PortfolioAnalytics simulations to r4.4 with the latest version of PortfolioAnalytics. I noticed that my current production version that runs...
