[R] fPortfolio constraints

I have a list of 5 stocks consisting of IBM, AXP, XOM, BA, GE. I am able to solve the optimal portfolio without long only constraints along with group weight constraints. However, I am not able to add one more constraint regarding Beta of the portfolio with upper bound of 1.1 and lower bound of .9.

Re: [R] fPortfolio constraints, maxsumW

"JPB" == "John P. Burkett" <[EMAIL PROTECTED]> on Tue, 12 Aug 2008 10:46:28 -0400 JPB> Running R version 2.6.1 under Gentoo Linux and using the fPortfolio JPB> package, I am having trouble specifying a sector constraint. One of the JPB> constraints to be imposed is that assets

[R] fPortfolio constraints, maxsumW

Running R version 2.6.1 under Gentoo Linux and using the fPortfolio package, I am having trouble specifying a sector constraint. One of the constraints to be imposed is that assets 1 and 2 together account for no more than 13.63% of the portfolio. My attempt at coding that constraint, "maxsumW