srisk: Markowitz (Mean-Variance) Portfolio Optimization

In quantreg: Quantile Regression

Markowitz (Mean-Variance) Portfolio Optimization

Description

This function estimates optimal mean-variance portfolio weights from a matrix of historical or simulated asset returns.

Usage

srisk(x, mu = 0.07, lambda = 1e+08, alpha = 0.1, eps = 1e-04)

Arguments

x	Matrix of asset returns
mu	Required mean rate of return for the portfolio
lambda	Lagrange multiplier associated with mean return constraint
alpha	Choquet risk parameter, unimplemented
eps	tolerance parameter for mean return constraint

Details

The portfolio weights are estimated by solving a constrained least squares problem.

Value

pihat	Optimal portfolio weights
muhat	Mean return in sample
sighat	Standard deviation of returns in sample

Author(s)

R. Koenker

See Also

qrisk

quantreg documentation built on Oct. 22, 2024, 5:07 p.m.