[R-SIG-Finance] parma - How to add a constraint for the weights

[u0055 at wolke7.net]

Dear R-SIGs,

I would like to optimize a long/short portfolio and
apply the constraint: sum(abs(weights)) = 1.
How can I do this with parma package ?

In the moment I'm using QP solver.
Is the solution for my question dependent on the used solver ?

Alexios wrote on Jul. 14:
> As to the budget constraint, the SOCP solver now allows to include a
> sum(abs(weights)) constraint for long-short optimization (when using a
> covariance matrix) without having to do any special tricks (as for
> instance discussed here:
> https://stat.ethz.ch/pipermail/r-sig-finance/2013q4/011972.html).
> This is documented in Section 4.4 of the vignette.

Sorry I don't find "Section 4.4 of the vignette".
Is there a good example or documentation available ?

Thanks in advance,
Uwe