Long-short balanced portfolio optimization

R-sig-finance,

I have a vector of expected returns and a covariance matrix and would
like to perform mean-variance portfolio optimization with the
constraint that the portfolio be long-short balanced, that is,
sum(weights) == 0.

It doesn't look like portfolio.optim in the tseries package supports
this constraint -- has anyone already solved this problem somewhere
I've missed?

Thanks,

Jeff

Jeff Enos
Kane Capital Management
jeff@kanecap.com