Hi,

I am trying to  set up a portfolio of 5 assets using R/Rmetrics.

I successfully modeled "LongOnly" and unlimited "shorting" using the
explanations in the "Portfolio Optimization with R/Rmetrics" book.

Now, I am trying to set up a portfolio with the restrictions that assets
1, and 5 can be ONLY "short" and assets 2,3, and 4 are ONLY "long."

The book mentioned above describes a procedure in chapter "13.4 Box
Constraint Strings:   For arbitrary short-selling, use box constraints
and set the lower bounds to
negative values for those assets that are allowed for short selling."
Unfortunately, there is no an example that shows the process.  

I am not sure if the bound for the shorts should be -inf  <w(shorts) < 0
and  the bounds for the longs should be something like 0 < w(longs) <
+inf... Furthermore, I am not sure if there is any other constrain that
need to able adjusted.

Also, what do the setSolver() function should be set to? 

If any one has done some work and could provide an example of how to set
up the box constraint for longs and shorts, it will be highly
appreciated.


Jorge Nieves



	[[alternative HTML version deleted]]

