Hi there,
 
I have a function f. This function returns the long-term performance of
a strategy as well as the risk. f uses a matrix X, of 12x9 coefficients
to determine the allocation to various assets, which in turn produces
the return and risk values. 
 
I wish to maximise the strategy's returns, whilst having two
constraints: limit the strategy's risk and limit the std dev of X to a
certain amount.
 
I have been able to do this in Matlab, but unfortunately my R knowledge
is quite limited. I have been able to translate all the Matlab code into
R, up to the optimisation point and would appreciate your help if
possible.
 
Thanks,
Eduard

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