I am interested in doing a portfolio optimization, but I need to impose 
non-linear, functional constraints (i.e Max Drawdown, or VaR, etc). I've 
looked into several of the optimization routines (nlminb, constrOptim and 
optim with SANN/L-BFGS-B) but it appears that all of them are geared to 
linear constraints. Other than using a penalty function method, is anyone 
aware of any other approaches available in  R?

Thanks
Ian McDonald
Malbec Partners

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