Hi!
fPortfolio might fit your needs. standard optimizations are implemented 
and it's easily customizable. just have a look at the 
package-documentation or the RMetrics-site: https://www.rmetrics.org/ 
There you also find some extensions to fPortfolio for more advanced 
optimizations.

rds

Matthias



Von:    aeolus_lu@hotmail.com
An:     r-sig-finance@r-project.org
Datum:  24.06.2011 04:28
Betreff:        [R-SIG-Finance] plain mean variance optimization
Gesendet von:   r-sig-finance-bounces@r-project.org




Hi,I wonder if there is any good package to do portfolio 
allocation/optimization. I would like to start with some plain mean 
variance optimization, but I wish the package can do more, say with 
different type of constraints. It will also be great if the package can 
help estimate optimization parameters.
thanks. 
  
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