[R-SIG-Finance] Finding an efficient portfolio with a given risk

Yaakov Moser ymoser at gmail.com
Mon Jun 7 13:48:53 CEST 2010

Hi all,

I need to find a portfolio on the efficient frontier for a set (defined) 
risk level,
given that I have a returns and a variance-covariance matrix for a set 
of assets.
This is complicated by the fact that there may be constraints on the 
assets, eg no short selling,
and possibly others which may be more restrictive (eg asset one has to 
between 10% and 50%).

As far as I know, this functionality is not (yet?) supported by fPorfolio.
Are there any packages that do support it?
Any examples would be very helpful.


Yaakov Moser

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