library("PSG")

#load("<your path>/problem_portfolio_replication_data.RData")
#load(paste(dirname(sys.frame(1)$ofile),"/problem_portfolio_replication_data.RData",sep = "")) #only for Windows

risk1 <- "meanabs_err"
risk2 <- "cvar_risk"
w2 <- 0.999
input.model$H1 <- H1
input.model$c1 <- c1
input.model$H2 <- H2
input.model$c2 <- c2
input.model$rineq <- 0.001
input.model$Aeq <- Aeq
input.model$beq <- 10000
input.model$lb <- lb

results <- rpsg_riskconstrprog(input.model)

print(results)