rportfolio (version 0.0.3)

markowitz.model: Markowitz Mean-Variance Model

Description

Calculates the optimum Portfolio weights

Usage

markowitz.model(R1, R2)

Arguments

R1

Portfolio Returns

R2

Benchmark Returns

Value

Returns the optimum portfolio weights and their risk and return profile.

Details

Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk.

Examples

# NOT RUN {
markowitz.model(funds$ret1, funds$rfr)
# }