[R-SIG-Finance] Urgent on the help

[Yunlei.Hu at barclayscapital.com]

Dear all
I have a optimization problem as follows. And would appreaciated if
someone can give me the reply soon.
 I aim to optimize the portfolio in considering the transaction cost.
Hence the objective function is: 
Min: 1/2 w^T* omega*w-mu^T*w-c^T*(w-w0) when w[i]>w0[i] 
       1/2 w^T* omega*w-mu^T*w+c^T*(w0-w) when w[i]<w0[i] 

Where w is the update weight vector of the portfolio
omiga is the variance-covariance matrix 
mu is the vector of the return rate 
w0 is the initial vector weight 
C is the coefficient vector of transaction cost

 It is in a bit of emergency. I would be really appreciated if anybody
can give me the reply ASAP. 

Many thanks
 Yunlei 

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