Optimization Question

I am interested in doing a portfolio optimization, but I need to impose
non-linear, functional constraints (i.e Max Drawdown, or VaR, etc). I've
looked into several of the optimization routines (nlminb, constrOptim and
optim with SANN/L-BFGS-B) but it appears that all of them are geared to
linear constraints. Other than using a penalty function method, is anyone
aware of any other approaches available in  R?

Thanks
Ian McDonald
Malbec Partners

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