[R-SIG-Finance] Sharpe's algorithm for portfolio improvement

[John P. Burkett]

An attractive sounding algorithm for maximizing the expected utility of 
of a portfolio was proposed by William F. Sharpe in "An algorithm for 
portfolio improvement," Advances in Mathematical Programming and 
Financial Planning, 1987, pp. 155-170 and summarized by the same author 
in "Expected utility asset allocation," Financial Analysts Journal, vol. 
63, no. 5 (Sep.-Oct., 2007), pp. 18-30.

Has this algorithm been implemented in R?

If not, is there a substitute that is likely to work well for a 
user-specified concave utility function?  I've tried optim, DEoptim, and 
Rgenoud but encountered difficulty in getting them to converge for a 
long-only portfolio of around 30 assets.

Best regards,
John

-- 
John P. Burkett
Department of Economics
University of Rhode Island
Kingston, RI 02881-0808
USA