I have 5 emerging market foreign exchange total return series, for which I am forecasting single period future returns (1 year). I would like to construct a Markowitz mean variance optimized portfolio of the 5 series, using historical variances and covariances (1) and my own forecast expected returns. Does R have an (easy) way/library to do this? In addition how would I go about calculating (1) is there a built in function?
For interest sake my currencies are USDTRY, USDZAR, USDRUB, USDHUF and USDPLN.