[R-SIG-Finance] Rmetric Rolling Backtest Portfolio

[tonyp]

Hi guys,

I was wondering if anyone would know why I am getting this message (and how
to fix it). I ran everything by book but for some reason it is giving me the
following message.


Portfolio Backtesting:

Assets:              FUND1, FUND2
Benchmark:          Benchmark.X
Start Series:        2009-01-18
End Series:          2011-11-30
  Type:              MV
  Cov Estimator:     shrinkEstimator
  Solver:            solveRquadprog
Portfolio Windows:   equidistWindows
  Horizon:           12m
Portfolio Strategy:  tangencyStrategy
Portfolio Smoother:  emaSmoother
  doubleSmoothing:   TRUE
  Lambda:            3m

Portfolio Optimization:
Optimization Period     Target  Benchmark        Weights
Error in optimize(f = ratioFun, interval = range(getMu(Data)), maximum =
TRUE,  : 
  'xmin' not less than 'xmax'
Error in optimize(targetRiskFun, interval = range(getMu(Data)), data = Data, 
: 
  'xmin' not less than 'xmax'
> 


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