Hi,

I have tried to use the maxreturnPortfolio Function in fPortfolio using the 
Rsocp solver. According to the ebook "Portfolio Optimization with 
R/Rmetrics", Rsocp is the preferred solver for that function. It appears to 
me that this solver is not installed (yet?)

require(fPortfolio)
lppData=100*LPP2005.RET[,1:6] 
maxRetSpec=portfolioSpec() 
setTargetRisk(maxRetSpec)=0.07 
setSolver(maxRetSpec)=solveRsocp 
maxreturnPortfolio(data=lppData,  spec = maxRetSpec, constraints = 
"LongOnly") 

Using the code above, I am getting an error that solveRsocp is not known. I 
have searched RForge and found the Rsocp::socp code. However, I was not 
able to find any examples or manual. Has anybody used Rsocp so far and 
could give me hint how to use it?

Thanks,
Heiko  
    
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