When you are trying to solve a portfolio optimization problem using the
package Rglpk_solve_LP, how do you put in the covariance matrix of the
assets? From some of the examples that are available online, it looks like
it can only be used in portfolios where the assets are uncorrelated. I may
be incorrectly interpreting the features of the package. Any thoughts?

Thanks,
-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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