Dear R Finance enthusiasts

I was wondering if anyone had experience with using R for portfolio construction with integer constraints, such as mean variance optimization, or equal risk contribution optimization, where you can only have integer number of shares/contracts in each underlying asset?

The case I am referring to is, for example, a futures trading strategy, where you trade a few different futures markets. Due to the generally large nominal size of futures contract, your budget allows you only to trade 1 to 5 contracts of each different asset. The problem being creating an optimal portfolio with those constraints.

I have done a fair amount of Google searches, and have looked through http://cran.r-project.org/web/views/Optimization.html . I have some mathematical optimization background, but it is getting a little rusty, not sure how to proceed. I was hoping someone here had some ideas.

Thank you very much,

Magnus Sigurdsson

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