[R-SIG-Finance] Portfolio Optimization Combination problem

[samshky]

I load the following library
library("fPortfolio")

then i use the avaialable data of the library fportfolio

data = SPISECTOR.RET
names(data)
 [1] "SPI"  "BASI" "INDU" "CONG" "HLTH" "CONS" "TELE" "UTIL" "FINA" "TECH"

SPISECTOR.RET consists the retunrs of above 10 sectors.

When investors wants to invest in these 10 sector using following code i
find the tangency and minimum variance portfolio with  
tangencyPortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")
minvariancePortfolio(data, spec = portfolioSpec(), constraints = "LongOnly")

But, Say an investor wants to know the Global Minimum Variance Portfolio and
tangencyPortfolio among the various portfoilo consist of these 10 sectors.
THis is my question and what can be the code for such problem?

My rough ideam be:
We may need a dataframe or matrix say "MATALL" which consist the the various
combinations portfolios of these sectors like
portfolio1 = SPI
portfolio2 = BASI
.......
.......
portfolio9 = TECH
portfolio10 = c(SPI, BASI)
portfolio11 = c(SPI, INDU)
portfolio12 = c(SPI, CONG)
.......
.......
Portfolio511 = c(SPI,  BASI, INDU, CONG, HLTH, CONS, TELE, UTIL, FINA, TECH)

Then we need another matrix or dataframe say "MAT" which exclude portfolio1
to portfolio9 because of the portfolio optimization problem ie  
MAT consist from portfolio10 to portfolio 511.

Now we need  mean     mu    Cov  Sigma   CVaR    VaR of tangencyPortfolio of
each of the portfolios in MAT and export it to Excel file
Similarly 
we need  mean     mu    Cov  Sigma   CVaR    VaR of minvariancePortfolio of
each of the portfolio in MAT and export it to Excel file


Thanks Samir




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