[R-SIG-Finance] Best optimizer for large scale problems

[Bastian Offermann]

Hi all,
I am working on a large scale portfolio optimization problem with up to 
500 assets. My objective function is simple

w*returns - 1/2 * 1/constant * w * Matrix * w

subject to sum(w) == 1 and w is a vector of weights with 0 <= w[i] <= 1 
for all i = 1, ..., n.

I have tried quadprog, alabama and DEoptim. What are your experiences 
with those and possibly other options?
Thanks in advance!