Is there any function or example in R or Rmetrics of static portfolio
optimization, where I have a vector of expected returns for N assets and a
expected covariance matrix of said N assets all at a fixed time (say
generated from a MFM risk and return model).

fPortfolio, Portfolio, portfolio.optim appear to all require time series of
returns to generate the expected return and historical covariance matrix for
use in creating weights.

Ideally, I hope to find an example that allows easily allows Long/Short
weights to make the portfolio  market neutral (i.e. Summation of Weights
=0).

Regards,


J. Velez

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