srisk: Markowitz (Mean-Variance) Portfolio Optimization
In quantreg: Quantile Regression

srisk

R Documentation

Markowitz (Mean-Variance) Portfolio Optimization

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

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

`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

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

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

R. Koenker