title: How to custom VaR at 5% and max return in Portfolio Analytics
body: <p>For Asset Allocation in R using Portfolio Analytics, is there a way to set risk as constant number, then optimize portfolio returns? For example, to maintain VaR always at 5% (conservative), how do weights of 8 assets change in portfolio to max return? In contrast, how do the weights change compared to a risky (VaR =20%) portfolio? In the Portfolio Analytics package, we can only set min risk as objective, but not set risk as a constant number. (Different from Equal Risk Contribution)</p>