亲爱的朋友们,我用fPortfolio包做投资组合,这是包里的一个例子,为啥会提示这样一个错误,希望好心人帮帮忙,谢谢!
以下是R代码:
library(fPortfolio)
lppData <- 100 * LPP2005.RET[, 1:6]
cvarSpec <- portfolioSpec()
setType(cvarSpec) <- "CVaR"
nAssets <- ncol(lppData)
setWeights(cvarSpec) <- rep(1/nAssets, times = nAssets)
setSolver(cvarSpec) <- "solveRglpk"
ewPortfolio <- feasiblePortfolio(data = lppData,spec = cvarSpec,constraints = "LongOnly")
minriskSpec <- portfolioSpec()
setType(minriskSpec) <- "CVaR"
setAlpha(minriskSpec) <- 0.05
setSolver(minriskSpec) <- "solveRglpk"
setTargetReturn(minriskSpec) <- getTargetReturn(ewPortfolio@portfolio)["mean"]
minriskPortfolio <- efficientPortfolio(data = lppData, spec = minriskSpec,constraints = "LongOnly")
最后一步会出现这样的错误:
Error in get(as.character(FUN), mode = "function", envir = envir) :
object 'solveRglpk' of mode 'function' was not found