Sorry if this is a dumb question, but I have trying to figure this out for 3 days now. I am getting this error every time I try to run the portfolio optimization and can't figure it out.
Error in assign(".objectivestorage", list(), envir = as.environment(.storage)) :
object '.storage' not found
I'm also getting this warning usually at the second and third objectives:
In addition: Warning message:
In is.na(le) : is.na() applied to non-(list or vector) of type 'NULL'
Here is my code:
##Import Dataset
setwd("D:\\Dropbox\\FUND - SSIF\\Portfolio Analysis Package")
Stocktrak<- Return.read("SSIF_Data.csv", frequency = "d")
# Create Objects for data and column names
R <- Stocktrak[, 1:17]
colnames(returns) <- c("JEC", "BNS", "AAPL", "PEG", "SLB", "TSM", "HD",
"MON", "GWO", "TOT", "XPH", "CVS", "UNP", "KORS", "GNTX", "NWC", "WFC")
funds <- colnames(R)
# Create an initial portfolio object with leverage and box constraints
init <- portfolio.spec(assets=funds)
init <- add.constraint(portfolio=init, type="leverage", min_sum=0.99, max_sum=1.01)
init <- add.constraint(portfolio=init, type="box", min=0.01, max=0.65)
# Create Objectives for eq_meanETL Portfolio Optimization
eq_meanETL <- add.objective(portfolio=init, type="return", name="mean")
eq_meanETL <- add.objective(portfolio=eq_meanETL, type="risk", name="ETL", arguments=list(p=0.95))
eq_meanETL <- add.objective(portfolio=eq_meanETL, type="risk_budget", name="ETL", min_concentration=TRUE, arguments=list(p=0.95))
# Optimize Portfolio
opt_eq_meanETL <- optimize.portfolio(R=R, portfolio=eq_meanETL, optimize_method="DEoptim", search_size=2000, trace=TRUE, traceDE=5)
将以下内容放在optimize.portfolio
之前
.storage <<- new.env()
Editing
Change the trace = FALSE
It will work. First time here.
opt_eq_meanETL <- optimize.portfolio(R=R, portfolio=eq_meanETL, optimize_method="DEoptim", search_size=2000, trace=FALSE, traceDE=5)
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