Many thanks Hugh and Thomas for your answers. I realize that return maximization is a harder numerical problem than risk minimization, so my thought was doing something along the lines of Thomas' search suggestion. Just wondered if that was not already programmed into the package. Your answers were very useful.
 
patzoul, I cannot find function "maxreturnPortfolio" in fPortfolio v260.72, where have you seen it? A more recent version of fPortfolio?
 
Best,
 
Enrique

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