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quantreg (version 5.99.1)

srisk: 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)

Value

pihat

Optimal portfolio weights

muhat

Mean return in sample

sighat

Standard deviation of returns in sample

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

Author

R. Koenker

Details

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

See Also

qrisk