I have a returns xts object like
retornos_categorias <- an xts object with 20 columns where each column is a return vector
assets <- colnames(retornos_categorias)
portfolio.init <- portfolio.spec(assets)
portfolio.init <- add.constraint(portfolio.init, type = "full_investment")
portfolio.minSD <- add.objective(portfolio = portfolio.init, type="risk", name="StdDev")
portfolio.minSD.opt <- optimize.portfolio(retornos_categorias, portfolio = portfolio.minSD, optimize_method = "ROI_old", trace = TRUE)
When I use optimize.portfolio from PortfolioAnalytics package I get this error:
Error in gmv_opt(R = R, constraints = constraints, moments = moments, :
paste0("package:", plugin) %in% search() || requireNamespace(plugin, .... is not TRUE
Someone else get this error? someone knows why I get that and how to fix it?
Thanks!
You very likely miss (i.e. need to install) a package, such as ROI or one of its plugins. But without a more complete example, it is hard to tell.
Response to the update: It's still not a reproducible example. You don't show the data, and you don't load/attach the required packages. Here is a reproducible example, and it works on my system. "It works" here means that it runs without an error; I did not inspect the results.
As data, I use a dataset from Kenneth French's website. Try to debug your code and find out what value plugin has; it should be the name of the missing package.
library("NMOF")
library("PortfolioAnalytics")
library("xts")
R <- French(tempdir(), "17_Industry_Portfolios_CSV.zip")
R <- as.xts(R, as.Date(row.names(R)))
R <- window(R, start = as.Date("2000-01-01"))
retornos_categorias <- R
assets <- colnames(retornos_categorias)
portfolio.init <- portfolio.spec(assets)
portfolio.init <- add.constraint(portfolio.init,
type = "full_investment")
portfolio.minSD <- add.objective(portfolio = portfolio.init,
type = "risk",
name = "StdDev")
portfolio.minSD.opt <- optimize.portfolio(retornos_categorias,
portfolio = portfolio.minSD,
optimize_method = "ROI_old",
trace = TRUE)
The function sessionInfo tells you what R and package versions have been used.
> sessionInfo()
## R version 4.0.2 (2020-06-22)
## Platform: x86_64-pc-linux-gnu (64-bit)
## Running under: Ubuntu 20.04.1 LTS
##
## Matrix products: default
## BLAS: /usr/lib/x86_64-linux-gnu/openblas-openmp/libblas.so.3
## LAPACK: /usr/lib/x86_64-linux-gnu/openblas-openmp/liblapack.so.3
##
## locale:
## [1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C
## [3] LC_TIME=en_GB.UTF-8 LC_COLLATE=en_US.UTF-8
## [5] LC_MONETARY=en_GB.UTF-8 LC_MESSAGES=en_US.UTF-8
## [7] LC_PAPER=en_GB.UTF-8 LC_NAME=C
## [9] LC_ADDRESS=C LC_TELEPHONE=C
## [11] LC_MEASUREMENT=en_GB.UTF-8 LC_IDENTIFICATION=C
##
## attached base packages:
## [1] stats graphics grDevices utils datasets methods base
##
## other attached packages:
## [1] PortfolioAnalytics_1.1.0 PerformanceAnalytics_2.0.4
## [3] foreach_1.5.0 xts_0.12-0
## [5] zoo_1.8-8 NMOF_2.2-0
##
## loaded via a namespace (and not attached):
## [1] datetimeutils_0.4-1 compiler_4.0.2 tools_4.0.2
## [4] parallel_4.0.2 codetools_0.2-16 grid_4.0.2
## [7] iterators_1.0.12 lattice_0.20-41 quadprog_1.5-8