R: Markowitz (Mean-Variance) Portfolio Optimization

srisk {quantreg} | R Documentation

## 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)

### 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

### Details

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

### Value

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

### Author(s)

R. Koenker

### See Also

`qrisk`

[Package quantreg version 5.83 Index]