You have to look at R-forge for fPortfolioSolver 
(http://r-forge.r-project.org/R/?group_id=156). The solver you need is 
Rsocp. Unfortunately, the package is available as source only. So either 
you have to compile it or just use the part of the code that suits your 
needs.

Regards,
Heiko

>             
> -------- Original-Nachricht --------
> Datum: Mon, 07 Jun 2010 14:48:53 +0300
> Von: Yaakov Moser <ymoser@gmail.com>
> An: r-sig-finance@stat.math.ethz.ch
> Betreff: [R-SIG-Finance] Finding an efficient portfolio with a given risk
> 
>             Hi all,
> 
> I need to find a portfolio on the efficient frontier for a set (defined) 
> risk level,
> given that I have a returns and a variance-covariance matrix for a set 
> of assets.
> This is complicated by the fact that there may be constraints on the 
> assets, eg no short selling,
> and possibly others which may be more restrictive (eg asset one has to 
> between 10% and 50%).
> 
> As far as I know, this functionality is not (yet?) supported by 
> fPorfolio.
> Are there any packages that do support it?
> Any examples would be very helpful.
> 
> Thanks
> 
> Yaakov Moser
> 
> 
> 
        
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