如何解决用R求解系统方程
这是Markowitz的有效投资组合问题，但是“原始”问题。我需要根据风险水平最大化投资组合的回报。
我有一个向量亩的回报：
mu
[,1] [,2] [,3] [,4] [,5] [,6]
2020-11-11 0.0002720645 0.000436814 0.0001976725 7.367183e-05 0.0001061771 2.123921e-05
[,7] [,8] [,9] [,10] [,11] [,12]
2020-11-11 0.0002674939 -7.217231e-05 7.246612e-05 0.0003106428 0.0002488269 -9.916666e-05
[,13] [,14] [,15] [,16] [,17] [,18]
2020-11-11 0.0001324967 0.000121239 0.0001060435 0.0002293328 0.0001029351 8.083295e-05
方差协方差矩阵：
sigma
[,1] [,2] [,3] [,4] [,5] [,6]
[1,] 5.592601e-05 1.867019e-07 -1.928308e-06 6.144346e-07 -2.773157e-07 1.659026e-05
[2,] 1.867019e-07 2.484421e-06 3.387304e-07 -1.116725e-07 4.748165e-08 6.849967e-06
[3,] -1.928308e-06 3.387304e-07 1.203656e-06 -5.667758e-08 1.085685e-07 -3.056249e-07
[4,] 6.144346e-07 -1.116725e-07 -5.667758e-08 2.100015e-08 -6.407951e-09 -5.022572e-08
[5,] -2.773157e-07 4.748165e-08 1.085685e-07 -6.407951e-09 2.156967e-07 3.545964e-09
[6,] 1.659026e-05 6.849967e-06 -3.056249e-07 -5.022572e-08 3.545964e-09 5.226998e-05
[7,] 1.801405e-05 8.490776e-06 -5.241004e-07 1.107834e-07 6.741364e-09 3.427730e-05
[8,] 4.081106e-05 2.616975e-06 -2.783963e-06 6.162108e-07 -2.925430e-07 4.131267e-05
[9,] 5.406343e-08 -9.440572e-09 -5.508222e-09 1.364631e-09 -5.884534e-10 -3.247901e-09
[10,] 1.436211e-05 6.552363e-06 -1.738885e-07 -1.002123e-07 1.232430e-08 3.661951e-05
[11,] 9.153688e-06 4.140858e-07 -4.691999e-07 1.450149e-07 -5.655290e-08 6.904077e-06
[12,] 2.503943e-05 9.261196e-07 -6.080288e-07 3.882300e-07 -8.190216e-08 1.727989e-05
[13,] 2.346539e-06 -2.721675e-07 -1.601445e-08 5.728516e-08 -4.386966e-09 2.463735e-07
[14,] 1.231017e-06 -2.161433e-07 -1.686978e-08 3.623457e-08 3.462555e-08 -1.252470e-07
[15,] 2.803784e-06 -4.366683e-07 1.349062e-07 1.065253e-07 1.319820e-08 -2.084133e-07
[16,] 5.000938e-06 -8.268924e-07 6.099295e-07 1.324316e-07 5.926589e-08 -9.965225e-07
[17,] -1.062064e-07 2.265318e-08 2.875487e-08 -3.366920e-09 1.776274e-09 4.806526e-09
[18,] -4.585421e-07 6.782657e-08 3.215220e-07 -1.258659e-08 2.188159e-08 -1.362058e-07
[,8] [,9] [,10] [,12]
[1,] 1.801405e-05 4.081106e-05 5.406343e-08 1.436211e-05 9.153688e-06 2.503943e-05
[2,] 8.490776e-06 2.616975e-06 -9.440572e-09 6.552363e-06 4.140858e-07 9.261196e-07
[3,] -5.241004e-07 -2.783963e-06 -5.508222e-09 -1.738885e-07 -4.691999e-07 -6.080288e-07
[4,] 1.107834e-07 6.162108e-07 1.364631e-09 -1.002123e-07 1.450149e-07 3.882300e-07
[5,] 6.741364e-09 -2.925430e-07 -5.884534e-10 1.232430e-08 -5.655290e-08 -8.190216e-08
[6,] 3.427730e-05 4.131267e-05 -3.247901e-09 3.661951e-05 6.904077e-06 1.727989e-05
[7,] 5.237200e-05 3.680683e-05 5.354780e-09 2.968337e-05 7.161037e-06 1.813164e-05
[8,] 3.680683e-05 1.662421e-04 5.065368e-08 7.083157e-05 1.028446e-05 2.650823e-05
[9,] 5.354780e-09 5.065368e-08 1.520614e-10 -7.552573e-09 1.266719e-08 3.327868e-08
[10,] 2.968337e-05 7.083157e-05 -7.552573e-09 4.900492e-05 4.501299e-06 1.198971e-05
[11,] 7.161037e-06 1.028446e-05 1.266719e-08 4.501299e-06 1.493544e-05 2.091619e-05
[12,] 1.813164e-05 2.650823e-05 3.327868e-08 1.198971e-05 2.091619e-05 6.634911e-05
[13,] 5.699686e-07 1.961050e-06 4.834209e-09 -6.040182e-08 2.463262e-06 4.880533e-06
[14,] 1.583679e-07 1.116495e-06 3.072008e-09 -2.197953e-07 2.903155e-07 8.507265e-07
[15,] 7.753749e-07 2.291707e-06 4.353285e-09 -5.523707e-07 6.641738e-07 2.131070e-06
[16,] 2.247954e-07 3.167986e-06 1.075832e-08 -1.326120e-06 9.988603e-07 3.492155e-06
[17,] -9.016614e-09 -1.176373e-07 -3.044293e-10 1.502323e-08 -2.420553e-08 -4.921572e-08
[18,] -1.588521e-07 -7.068861e-07 -1.222680e-09 -1.076004e-07 -9.341448e-08 -9.692232e-08
[,13] [,14] [,15] [,16] [,17] [,18]
[1,] 2.346539e-06 1.231017e-06 2.803784e-06 5.000938e-06 -1.062064e-07 -4.585421e-07
[2,] -2.721675e-07 -2.161433e-07 -4.366683e-07 -8.268924e-07 2.265318e-08 6.782657e-08
[3,] -1.601445e-08 -1.686978e-08 1.349062e-07 6.099295e-07 2.875487e-08 3.215220e-07
[4,] 5.728516e-08 3.623457e-08 1.065253e-07 1.324316e-07 -3.366920e-09 -1.258659e-08
[5,] -4.386966e-09 3.462555e-08 1.319820e-08 5.926589e-08 1.776274e-09 2.188159e-08
[6,] 2.463735e-07 -1.252470e-07 -2.084133e-07 -9.965225e-07 4.806526e-09 -1.362058e-07
[7,] 5.699686e-07 1.583679e-07 7.753749e-07 2.247954e-07 -9.016614e-09 -1.588521e-07
[8,] 1.961050e-06 1.116495e-06 2.291707e-06 3.167986e-06 -1.176373e-07 -7.068861e-07
[9,] 4.834209e-09 3.072008e-09 4.353285e-09 1.075832e-08 -3.044293e-10 -1.222680e-09
[10,] -6.040182e-08 -2.197953e-07 -5.523707e-07 -1.326120e-06 1.502323e-08 -1.076004e-07
[11,] 2.463262e-06 2.903155e-07 6.641738e-07 9.988603e-07 -2.420553e-08 -9.341448e-08
[12,] 4.880533e-06 8.507265e-07 2.131070e-06 3.492155e-06 -4.921572e-08 -9.692232e-08
[13,] 8.999334e-07 1.321428e-07 3.261184e-07 6.050874e-07 -6.496856e-09 9.309784e-09
[14,] 1.321428e-07 9.120545e-08 1.986952e-07 3.772898e-07 -4.786053e-09 7.777481e-09
[15,] 3.261184e-07 1.986952e-07 8.154712e-07 1.007473e-06 -5.816547e-09 6.094590e-08
[16,] 6.050874e-07 3.772898e-07 1.007473e-06 2.313540e-06 -2.842490e-09 2.360389e-07
[17,] -6.496856e-09 -4.786053e-09 -5.816547e-09 -2.842490e-09 1.682421e-09 8.910643e-09
[18,] 9.309784e-09 7.777481e-09 6.094590e-08 2.360389e-07 8.910643e-09 1.407667e-07
我想解决以下最大化问题：
其中mu_p是投资组合收益（加权平均值），sigma_p ** 2是投资组合的方差，SIGMA是varcov矩阵，1是1的向量，x是权重
加上一个约束，使所有x值都大于或等于Cero
我真的不知道如何在R中做到这一点，我已经审查了诸如ROI和CVXR之类的某些程序包，但是我不知道如何解决该问题。
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