i trying find global minimum of problem , cannot figure out why getting error above. trying set 5 of assets equal exact weights , optimize other 5 within range of values. prefer not use meq=5 option.
dvec<-matrix(0, 1,ncol(dmat)) dmat b c d e f g h j 6.85e-08 -0.000000039 -0.00000242 1.00e-07 -0.00000206 -0.00000102 -1.14e-07 -0.000000531 -0.00000137 -0.00000132 b -3.90e-08 0.001124367 0.000190585 -2.08e-06 0.000221485 0.000153652 5.99e-05 0.000038 0.0000762 0.000200415 c -2.42e-06 0.000190585 0.001730743 1.30e-07 0.000878497 0.000926944 6.45e-05 0.000339591 0.000958817 0.000665363 d 1.00e-07 -0.00000208 0.00000013 9.68e-07 -0.00000198 -0.00000106 -3.39e-07 0.000000912 0.00000142 0.00000279 e -2.06e-06 0.000221485 0.000878497 -1.98e-06 0.000857829 0.000590873 4.15e-05 0.00025093 0.000521244 0.000455809 f -1.02e-06 0.000153652 0.000926944 -1.06e-06 0.000590873 0.001226696 4.72e-05 0.000198401 0.000512625 0.000343511 g -1.14e-07 0.0000599 0.0000645 -3.39e-07 0.0000415 0.0000472 4.45e-05 0.0000435 0.000052 0.0000425 h -5.31e-07 0.000038 0.000339591 9.12e-07 0.00025093 0.000198401 4.35e-05 0.000362761 0.00031198 0.000224669 -1.37e-06 0.0000762 0.000958817 1.42e-06 0.000521244 0.000512625 5.20e-05 0.00031198 0.00096765 0.000514901 j -1.32e-06 0.000200415 0.000665363 2.79e-06 0.000455809 0.000343511 4.25e-05 0.000224669 0.000514901 0.000748266 amat b c d e f g h j b c d e f g h j -1 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 b 0 -1 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 0 0 0 c 0 0 -1 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 0 0 d 0 0 0 1 0 0 0 0 0 0 0 0 0 -1 0 0 0 0 0 0 e 0 0 0 0 -1 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 f 0 0 0 0 0 -1 0 0 0 0 0 0 0 0 0 1 0 0 0 0 g 0 0 0 0 0 0 -1 0 0 0 0 0 0 0 0 0 1 0 0 0 h 0 0 0 0 0 0 0 -1 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 0 -1 0 0 0 0 0 0 0 0 0 1 0 j 0 0 0 0 0 0 0 0 0 -1 0 0 0 0 0 0 0 0 0 1 bvec b c d e f g h j b c d e f g h j (757,631) (805) (770,471) (71,668) (10,011,652) (5,870,322) (10,942,502) (52,569) (10,582,791) (5,293,429) - - - - - 5,870,322 10,942,502 52,569 10,582,791 5,293,429 sol<-solve.qp(dmat, dvec, amat, bvec, meq=0)
error mentioned in subject line due non positive-definiteness of matrix. op figured out is.positive.definite() way check it.
Comments
Post a Comment