Would you mind including the code that you're using? It will be (much)
easier to figure out what's going on once we know precisely what the
constraints and the objective function are.

One other thing- if you're looking to find the standard Markowitz
optimal portfolio with multiple assets and weightings, I recommend using
the "quadprog" package. I've used it before to solve such problems and
it does the job pretty nicely.

On Sun, 2010-02-21 at 23:31 -0500, Todd Chadwick wrote:

> Hi all,
> 
>  
> 
> I'm stumped with a portfolio optimization issue.  I'm utilizing the
> fPortfolio package (although I know this issue is more general) and I am
> trying to perform a vanilla MV optimization using both a weighting
> constraint (box constrained and sum to unity) and target return
> specification (specifically using the "efficientPortfolio()" wrapper
> function).  My puzzle is that sometimes the box constraints are violated and
> I am curious as to either what else I need to consider (I suspect the issue
> involves the target return spec) or how to force the constraints to be
> honored.  
> 
>  
> 
> Sorry no data examples to provide, but I hope that the experience of the
> collective can shed some light for a rookie.
> 
>  
> 
> Todd
> 
> 
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> 
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