Solver for a generic optimal portfolio

I'd like to estimate weights of an optimal portfolio other than min
variance portfolio by replacing covariance matrix with something
else. Is there an R package that can do this (my understanding is
that solve.QP is not helpful for this task).

Alec,

You'll need to be a little more specific about what your target 
objectives and constraints are if someone is going to be able to help you.

For some objectives and constraints, quadratic, linear, or conical 
solvers can be used.  For other objective and constraint combinations, 
you'll need a global stochastic solver.

Without understanding precisely what you're trying to do, no one can 
give you an answer about which package(s) will be best for your problem.

I can say that I think of any portfolio formulation I can come up with 
may be solved with R.

Regards,

Brian

Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock