user3390169 - 3 months ago 37

R Question

I am moving along in my understanding of R but I have hit another snag when it comes to portfolio optimization. I have a program that spits out .csv files for a portfolio of assets. The first is the portfolio's variance/covariance matrix: covar.csv and the second is the expected returns of the assets: fwdCost.csv. I am trying to set the returns equal to -2,200,000 minimize the risk to the portfolio (weights must be between 0 and 1). I think my problem has something to do with my .csv files but I cannot figure out why solve.QP doesn't like them.

`> library(quadprog)`

> dmat<-read.csv(file="C:/Users/Desktop/RFrontier/covar.csv", head=TRUE, sep=",")

> dvec<-matrix(0, 1,length(dmat))

> amat<-read.csv(file="C:/Users/Desktop/RFrontier/fwdCost.csv", header=TRUE, sep=",")

> amat<-t(amat)

> x<-matrix(0, length(dmat), length(dmat))

> diag(x)<-1

> amat<-cbind(amat,x)

> x<--x

> amat<-cbind(amat,x)

> bvec<-c(-2200000, rep(0, length(dmat)), rep(-1,length(dmat)))

> solve.QP(dmat, dvec, amat, bvec)

yields this error: Error in solve.QP(dmat, dvec, amat, bvec) :

(list) object cannot be coerced to type 'double'

Answer

The issue is with `amat`

and `dmat`

-- they are not matrices but data.frames.
use:

```
# after reading them into R
amat <- as.matrix(amat)
dmat <- as.matrix(dmat)
```

Then you can transpose, and whateverelse you'd like.

You can confirm that this is the source of the error by any of the following:

```
is(amat)
is.data.frame(amat)
is.matrix(amat)
as.numeric(amat)
## This should give you a similar error to the one you are seeing.
```