portfolio optimisation with CVaR not working in fPortfolio package

Question

I am trying to replicate the book example, as in the following answer:

https://quant.stackexchange.com/a/3937

But I am getting this error:

frontier <- portfolioFrontier(data = lppData, spec = frontierSpec, constraints="LongOnly");

Error in get(as.character(FUN), mode = "function", envir = envir) : object 'solveRglpk' of mode 'function' was not found

I tried to solve calling library("Rglpk"), the error continues.

Any help would be appreciated. Robert

> sessionInfo()
R version 3.1.2 (2014-10-31)
Platform: x86_64-w64-mingw32/x64 (64-bit)

locale:
[1] LC_COLLATE=Portuguese_Brazil.1252  LC_CTYPE=Portuguese_Brazil.1252   
[3] LC_MONETARY=Portuguese_Brazil.1252 LC_NUMERIC=C                      
[5] LC_TIME=Portuguese_Brazil.1252    

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] fPortfolio_3011.81 fAssets_3011.83    fBasics_3011.87    timeSeries_3011.98
[5] timeDate_3011.99  

loaded via a namespace (and not attached):
 [1] boot_1.3-13       DEoptimR_1.0-2    ecodist_1.2.9     energy_1.6.2     
 [5] fCopulae_3011.81  fMultivar_3011.78 kernlab_0.9-19    MASS_7.3-35      
 [9] mnormt_1.5-1      mvnormtest_0.1-9  numDeriv_2012.9-1 parallel_3.1.2   
[13] quadprog_1.5-5    RCurl_1.95-4.3    Rglpk_0.6-0       rneos_0.2-7      
[17] robustbase_0.91-1 Rsolnp_1.14       Rsymphony_0.1-17  slam_0.1-32      
[21] sn_1.1-1          stats4_3.1.2      truncnorm_1.0-7   XML_3.98-1.1  

Answer 1

solveRglpk.CVAR(data, spec, constraints)
solveRglpk.MAD(data, spec, constraints)
solveRampl.CVAR(data, spec, constraints)

set optimization algorithm

setSolver(frontierSpec)  <- "solveRglpk.CVAR"

Try to use one of them.Not solveRampl()