markowitz.model: Markowitz Mean-Variance Model

Description Usage Arguments Details Value Examples

View source: R/markowitz_model.R

Description

Calculates the optimum Portfolio weights

Usage

1

Arguments

R1

Portfolio Returns

R2

Benchmark Returns

Details

Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk.

Value

Returns the optimum portfolio weights and their risk and return profile.

Examples

1

Example output

      w1   w2      returns        risk
1   0.00 1.00 0.0001186410 0.004716080
2   0.01 0.99 0.0001247814 0.004999404
3   0.02 0.98 0.0001309217 0.005265335
4   0.03 0.97 0.0001370620 0.005516388
5   0.04 0.96 0.0001432024 0.005754512
6   0.05 0.95 0.0001493427 0.005981250
7   0.06 0.94 0.0001554831 0.006197853
8   0.07 0.93 0.0001616234 0.006405348
9   0.08 0.92 0.0001677637 0.006604595
10  0.09 0.91 0.0001739041 0.006796318
11  0.10 0.90 0.0001800444 0.006981137
12  0.11 0.89 0.0001861847 0.007159588
13  0.12 0.88 0.0001923251 0.007332134
14  0.13 0.87 0.0001984654 0.007499185
15  0.14 0.86 0.0002046057 0.007661098
16  0.15 0.85 0.0002107461 0.007818194
17  0.16 0.84 0.0002168864 0.007970758
18  0.17 0.83 0.0002230268 0.008119044
19  0.18 0.82 0.0002291671 0.008263283
20  0.19 0.81 0.0002353074 0.008403683
21  0.20 0.80 0.0002414478 0.008540435
22  0.21 0.79 0.0002475881 0.008673709
23  0.22 0.78 0.0002537284 0.008803665
24  0.23 0.77 0.0002598688 0.008930447
25  0.24 0.76 0.0002660091 0.009054189
26  0.25 0.75 0.0002721494 0.009175013
27  0.26 0.74 0.0002782898 0.009293033
28  0.27 0.73 0.0002844301 0.009408355
29  0.28 0.72 0.0002905704 0.009521077
30  0.29 0.71 0.0002967108 0.009631290
31  0.30 0.70 0.0003028511 0.009739079
32  0.31 0.69 0.0003089915 0.009844524
33  0.32 0.68 0.0003151318 0.009947700
34  0.33 0.67 0.0003212721 0.010048676
35  0.34 0.66 0.0003274125 0.010147518
36  0.35 0.65 0.0003335528 0.010244288
37  0.36 0.64 0.0003396931 0.010339044
38  0.37 0.63 0.0003458335 0.010431841
39  0.38 0.62 0.0003519738 0.010522730
40  0.39 0.61 0.0003581141 0.010611762
41  0.40 0.60 0.0003642545 0.010698981
42  0.41 0.59 0.0003703948 0.010784432
43  0.42 0.58 0.0003765352 0.010868157
44  0.43 0.57 0.0003826755 0.010950196
45  0.44 0.56 0.0003888158 0.011030585
46  0.45 0.55 0.0003949562 0.011109361
47  0.46 0.54 0.0004010965 0.011186558
48  0.47 0.53 0.0004072368 0.011262209
49  0.48 0.52 0.0004133772 0.011336344
50  0.49 0.51 0.0004195175 0.011408992
51  0.50 0.50 0.0004256578 0.011480183
52  0.51 0.49 0.0004317982 0.011549943
53  0.52 0.48 0.0004379385 0.011618297
54  0.53 0.47 0.0004440788 0.011685271
55  0.54 0.46 0.0004502192 0.011750888
56  0.55 0.45 0.0004563595 0.011815171
57  0.56 0.44 0.0004624999 0.011878141
58  0.57 0.43 0.0004686402 0.011939819
59  0.58 0.42 0.0004747805 0.012000225
60  0.59 0.41 0.0004809209 0.012059379
61  0.60 0.40 0.0004870612 0.012117298
62  0.61 0.39 0.0004932015 0.012174000
63  0.62 0.38 0.0004993419 0.012229502
64  0.63 0.37 0.0005054822 0.012283820
65  0.64 0.36 0.0005116225 0.012336970
66  0.65 0.35 0.0005177629 0.012388967
67  0.66 0.34 0.0005239032 0.012439826
68  0.67 0.33 0.0005300436 0.012489560
69  0.68 0.32 0.0005361839 0.012538182
70  0.69 0.31 0.0005423242 0.012585707
71  0.70 0.30 0.0005484646 0.012632145
72  0.71 0.29 0.0005546049 0.012677509
73  0.72 0.28 0.0005607452 0.012721811
74  0.73 0.27 0.0005668856 0.012765061
75  0.74 0.26 0.0005730259 0.012807270
76  0.75 0.25 0.0005791662 0.012848449
77  0.76 0.24 0.0005853066 0.012888607
78  0.77 0.23 0.0005914469 0.012927754
79  0.78 0.22 0.0005975872 0.012965898
80  0.79 0.21 0.0006037276 0.013003050
81  0.80 0.20 0.0006098679 0.013039216
82  0.81 0.19 0.0006160083 0.013074406
83  0.82 0.18 0.0006221486 0.013108628
84  0.83 0.17 0.0006282889 0.013141888
85  0.84 0.16 0.0006344293 0.013174194
86  0.85 0.15 0.0006405696 0.013205554
87  0.86 0.14 0.0006467099 0.013235973
88  0.87 0.13 0.0006528503 0.013265459
89  0.88 0.12 0.0006589906 0.013294017
90  0.89 0.11 0.0006651309 0.013321654
91  0.90 0.10 0.0006712713 0.013348375
92  0.91 0.09 0.0006774116 0.013374186
93  0.92 0.08 0.0006835520 0.013399092
94  0.93 0.07 0.0006896923 0.013423098
95  0.94 0.06 0.0006958326 0.013446208
96  0.95 0.05 0.0007019730 0.013468428
97  0.96 0.04 0.0007081133 0.013489762
98  0.97 0.03 0.0007142536 0.013510214
99  0.98 0.02 0.0007203940 0.013529788
100 0.99 0.01 0.0007265343 0.013548488
101 1.00 0.00 0.0007326746 0.013566317

rportfolio documentation built on July 1, 2020, 10:35 p.m.