[R-sig-finance] Long-short balanced portfolio optimization

[Jeff Enos]

R-sig-finance,

I have a vector of expected returns and a covariance matrix and would
like to perform mean-variance portfolio optimization with the
constraint that the portfolio be long-short balanced, that is,
sum(weights) == 0.

It doesn't look like portfolio.optim in the tseries package supports
this constraint -- has anyone already solved this problem somewhere
I've missed?

Thanks,

Jeff


-- 
Jeff Enos
Kane Capital Management
jeff at kanecap.com