I would like to use an R SOCP solver to get similar results to the following paper: http://www.optimization-online.org/DB_FILE/2014/05/4366.pdf
And doing a bit of googling, it seems like it used to be part of fPortfolioSolver
, but that package looks like it no longer exists....
And this looks like how it used to be implemented...
https://stat.ethz.ch/pipermail/r-sig-finance/2010q2/006074.html
The solver still sort of exists here:
https://r-forge.r-project.org/scm/viewvc.php/pkg/fPortfolio/R/solveRsocp.R?view=markup&root=rmetrics&pathrev=3507
But it should be referencing the Rsocp
package available here:
https://r-forge.r-project.org/R/?group_id=156
However there are a few errors that need to help it to get it to work
e.g. line 117 needs to change to
Rsocp:::.SqrtMatrix
and line 165 needs to change to
optim <- Rsocp::socp(f, A, b, C, d, N, x, z, w, control)
but when running the following code, I get the following error...
lppData=100*LPP2005.RET[,1:6]
maxRetSpec=portfolioSpec()
setTargetRisk(maxRetSpec)=0.07
setSolver(maxRetSpec)="solveRsocp"
efficientPortfolio(data=lppData, spec=maxRetSpec, constraints="LongOnly")
Error in .socp.phase1(f, A, b, N, control) : Phase 1 failed, alpha>=0
traceback()
6 stop("Phase 1 failed, alpha>=0")
5 .socp.phase1(f, A, b, N, control)
4 Rsocp::socp(f, A, b, C, d, N, x, z, w, control) at solveRsocp.R#165
3 .rsocp(f = args$f, A = args$A, b = args$b, C = args$C, d = args$d,
N = args$N, targetRisk = args$targetRisk, mu = args$mu, Scale = args$Scale) at solveRsocp.R#64
2 Solver(data, spec, constraints)
1 efficientPortfolio(data = lppData, spec = maxRetSpec, constraints = "LongOnly")
Any help to solve this situation so that the solver works and that the paper could be replicated would be greatly be appreciated...