port_estim_markowitz_unb: Unbiased Markowitz Portfolio Diversification

In antshi/auxPort: Auxiliary functions for portfolio optimization

Description

Calculates the weights of an optimal unbiased Markowitz portfolio strategy.

Usage

port_estim_markowitz_unb(Sigma, mu, rf = 0, gamma = 2, size_sample)

Arguments

Sigma	a pxp covariance matrix of asset returns.
mu	a vector, the expected returns.
rf	a double, the assumed risk-free return. Default value is 0.
gamma	an integer, the risk aversion parameter. Default value is 2.
size_sample	an integer, the sample size (number of observations) of the returns data.

Value

a vector of length p with the weights of the portfolio.

Examples

data(sp500_rets)
example_rets <- sp500_rets[,2:11]
covMat <- var(example_rets)
muVec <- colMeans(example_rets)
port_estim_markowitz_unb(covMat, muVec, size_sample=dim(example_rets)[1])

antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.