srisk

Required mean rate of return for the portfolio

Lagrange multiplier associated with mean return constraint

lambda

alpha

tolerance parameter for mean return constraint

This function estimates optimal mean-variance portfolio weights from a matrix
of historical or simulated asset returns.

regression

Estimation and inference methods for models of conditional quantiles: 
  Linear and nonlinear parametric and non-parametric (total variation penalized) models 
  for conditional quantiles of a univariate response and several methods for handling
  censored survival data.  Portfolio selection methods based on expected shortfall
  risk are also included.

srisk: Markowitz (Mean-Variance) Portfolio Optimization

Description

Usage

Arguments

Value

Details

See Also