Check the CRAN finance task view at
http://cran.r-project.org/web/views/Finance.html

There is a full eBook on portfolio optimization using Rmetrics,
https://wwww.rmetrics.org/ebooks-portfolio, see also
http://www.rinfinance.com/RinFinance2009/presentations/yollin_slides.pdf
 and https://stat.ethz.ch/pipermail/r-sig-finance/2009q1/003507.html

On Mon, Aug 1, 2011 at 9:48 AM, John P. Burkett <burkett@uri.edu> wrote:

> An attractive sounding algorithm for maximizing the expected utility of of
> a portfolio was proposed by William F. Sharpe in "An algorithm for portfolio
> improvement," Advances in Mathematical Programming and Financial Planning,
> 1987, pp. 155-170 and summarized by the same author in "Expected utility
> asset allocation," Financial Analysts Journal, vol. 63, no. 5 (Sep.-Oct.,
> 2007), pp. 18-30.
>
> Has this algorithm been implemented in R?
>
> If not, is there a substitute that is likely to work well for a
> user-specified concave utility function?  I've tried optim, DEoptim, and
> Rgenoud but encountered difficulty in getting them to converge for a
> long-only portfolio of around 30 assets.
>
> Best regards,
> John
>
> --
> John P. Burkett
> Department of Economics
> University of Rhode Island
> Kingston, RI 02881-0808
> USA
>
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