[R-SIG-Finance] fPortfolio - SOCP not available?

[Adrian Madescu]

I'm trying to maximize the return of a portfolio using the "fPortfolio"
package.  I've installed also the "fPortfolioSolver" package.

With the exact lines that have been posted i get the next error:

> require(fPortfolio) 
> require(fPortfolioSolver) 

> lppData=100*LPP2005.RET[,1:6] 
> maxRetSpec=portfolioSpec() 
> setTargetRisk(maxRetSpec)=0.07 
> setSolver(maxRetSpec)="solveRsocp" 
> efficientPortfolio(data=lppData, spec=maxRetSpec, constraints="LongOnly") 
*
Error in .C("socp_getwork", as.integer(L), as.integer(N), as.integer(n),  : 
  C symbol name "socp_getwork" not in DLL for package "Rsocp" *

Could you please help me out?

Thanks,
Adrian.


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