Question about how to use a risk-free rate higher than zero

[tresbagley]

I have tried to run the port.optimization function using a different risk-free rate higher than zero. When I try to set rf=0.02 (to use 2%), I get the error: "The problem doesn't have a solution with actual input parameters."

I have searched through your documentation and examples and I did not see any instance of a risk-free rate being used other than the default of 0.

What is the proper syntax (or format) to use a risk-free rate other than zero?

I have searched through your documentation and examples and I did not see any instance of a risk-free rate being used other than the default of 0.

Thanks in advance!

[dcajasn]

Hi @tresbagley,

You must convert the risk free rate to daily frequency, for example a 2% annual rate must be transformed to rf=0.02/252.

Best regards,
Dany

[tresbagley]

That works! Thank you so much!