title: portfolio optimization in R
body: <p>I am unfamiliar to portfolio optimization. For a given portfolio weight w, expected return and variance are respectively, w'μ=q and w' Σ w. We define the portfolio selection problem as: to minimize the variance w' Σ w subject to w' e=1  and w' μ=q, q is the expected rate of return. And short selling is prohibited. I want equally weighted portfolio. How can I do it? This code is correct for it? The other problem, e is the vector of ones do I have to write it or does quadprog already have it? Could you help me? </p>
  
  <pre><code>Dmat &lt;- cov(x)   #covariance matrix
  dvec &lt;- colMeans(x)
  if(short=="no"){
  Amat &lt;- cbind(rep(1,20), diag(20))    # the weights sum up to 1
    bvec &lt;- c(1, rep(0, 20))   # No short-selling
  }
  portfolio.out &lt;-solve.QP(Dmat, dvec, Amat, bvec, meq=1, factorized=FALSE)
  portfolio.out$solution       #portfolio weights
  sum(portfolio.out$solution)  #check whether sum up to 1
  portfolio.out$value          #portfolio variance
  eff.frontier &lt;- function (dvec, Dmat, alpha.min=0, alpha.max=1, nport=10, shorts=FALSE)
  eff.frontier$weights
  </code></pre>