Hello,

thank you for contributing to R with you package fPortfolio.
I am looking at it and have a question for you.

1/ I would like to maximise the return of a portfolio, over the following
constraints:
   * each asset cannot be allocated more than a cap
   * each group of asset cannot be allocated more than a cap (gross or net
sum of weights)
   * VaR or CVaR constraint on group of assets
Is it possible using fPortfolio?

2/ I understand that we can setup group constraints in terms of weight cap.
But can we do the same for VaR or CVaR constraints? Let's suppose that I
have chosen CVaR as risk measure in the model. How will the constraint be
defined?

Thank you for you help. I read carefully the help for the package but could
not manage to understand precisely how to use the functions.

Xavier

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