MarkowitzR: statistics concerning the Markowitz portfolio

Description Markowitz Portfolio Legal Mumbo Jumbo Note Author(s) References


Inference on the Markowitz portfolio.

Markowitz Portfolio

Suppose x is a p-vector of returns of some assets with expected value mu and covariance Sigma. The Markowitz Portfolio is the portfolio w = Sigma^-1 mu. Scale multiples of this portfolio solve various portfolio optimization problems, among them

argmax{ (mu'w - r0) / sqrt(w'Sigma w) : w'Sigma w <= R^2}

This packages supports various statistical tests around the elements of the Markowitz Portfolio, and its Sharpe ratio, including the possibility of hedging, and scalar conditional heteroskedasticity and conditional expectation.

Legal Mumbo Jumbo

MarkowitzR is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License for more details.


This package is maintained as a hobby.


Steven E. Pav


Pav, S. E. "Asymptotic Distribution of the Markowitz Portfolio." 2013

Pav, S. E. "Portfolio Inference with this One Weird Trick." R in Finance, 2014

Britten-Jones, Mark. "The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights." The Journal of Finance 54, no. 2 (1999): 655–671.

Bodnar, Taras and Okhrin, Yarema. "On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory." Scandinavian Journal of Statistics 38, no. 2 (2011): 311–331.

Markowitz, Harry. "Portfolio Selection." The Journal of Finance 7, no. 1 (1952): 77–91.

Brandt, Michael W. "Portfolio Choice Problems." Handbook of Financial Econometrics 1 (2009): 269–336.

MarkowitzR documentation built on Jan. 8, 2020, 5:08 p.m.