library(PerformanceAnalytics)
library(PortfolioAnalytics)

# Use the first 4 columns in edhec for a returns object
data(edhec)
returns <- edhec[, 1:4]
colnames(returns) <- c("CA", "CTAG", "DS", "EM")
funds <- colnames(returns)

# Create portfolio object
portf_maxret <- portfolio.spec(assets=funds)
# Add constraints to the portfolio object
portf_maxret <- add.constraint(portfolio=portf_maxret, type="full_investment")
portf_maxret <- add.constraint(portfolio=portf_maxret, type="box",
                                  min=c(0.02, 0.05, 0.03, 0.02),
                                  max=c(0.55, 0.6, 0.65, 0.5))
# Add objective to the portfolio object
portf_maxret <- add.objective(portfolio=portf_maxret, type="return", name="mean")

require(DEoptim) # for simplicity's sake let's forget about ROI
opt_maxret <- optimize.portfolio(R = returns, portfolio = portf_maxret, trace = TRUE)