I have a question connect with fPortfolio. In my case I have three assets and I want to optimize portfolio from those assets, but I want each asset to have the same risk part in my portfolio. For that purpose I use budgetconstraints <-c( “min[c(1:3)] = rep(0.32,times = 3)”,”max[c(1:3)] =rep(0.34,times=3)"
print(mySpec) Model List: Type: MV Optimize: minRisk Estimator: covEstimator Params: alpha = 0.05 a = 1
Portfolio List: Target Weights: NULL Target Return: NULL Target Risk: NULL Risk-Free Rate: 0 Number of Frontier Points: 50 Status: NA
Optim List: Solver: solveRquadprog Objective: portfolioObjective portfolioReturn portfolioRisk Options: meq = 2 Trace: FALSE
When I use backtest with minvaraincePortfolio I discover the constraint not work, I compare with backtest with the same function minvariancePortfolio without constraint but the results are the same. If someone have any idea how to solve the problem please help me. THANKS