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)Matrix of asset returns
Required mean rate of return for the portfolio
Lagrange multiplier associated with mean return constraint
Choquet risk parameter, unimplemented
tolerance parameter for mean return constraint
Optimal portfolio weights
Mean return in sample
Standard deviation of returns in sample
The portfolio weights are estimated by solving a constrained least squares problem.