I'm using R to optimize our portfolio. However, I do not have a return
series, as required in most of the portfolio optimization packages. I have
daily PnLs (regular profit/loss numbers) of several products. In order to be
able to use PerformanceAnalytics or RMetrics, how should I about converting
them to returns? Also, my objective of optimizing the portfolio is to
maximize the return, constrained on some risk parameter like VAR/CVAR/etc
and then decide how much to trade each product.

Any headstart in solving this problem will be helpful.

Thanks a lot,
-Nandi

-- 
I'm a great believer in luck, and I find the harder I work the more I have
of it.  ~Thomas Jefferson

Subhrangshu Nandi
High Frequency Trading
Greater Chicago Area
Office:(312) 601-8096
EFax: (703) 852-7405

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