[R-SIG-Finance] LSPM - Unexpected Results

[Noah Silverman]

Hi,

I've been playing with the LSPM library from optimizing a portfolio of
13 assets (Using the interesting Leverage Space model developed by Ralph
Vince.)

Using the function:  maxProbProfit

res <- maxProbProfit(jpt, 1e-6, 6, probDrawdown, 0.1, DD=0.2,
calc.max=4, snow=cl, control=DEctrl)

It takes a LONG time for the optmizer to find a solution.

It has found a solution that has a 100% probability of profit given the
constraints.

The odd thing is that several of the values (optimal F) are negative. 
My understanding is that indicates shorting the asset.  This assets in
this portfolio can't be shorted.

I've never read about shorting with the LSPM model, is this common?
Is there a way to indicate, as a constraint, not to short?
I have a portfolio of X dollars to allocate, so the percentages must sum
to one, how do I do this once I get the F values?

Thanks in advance for any and all suggestions!

--
Noah