https://github.com/cran/quantreg
Revision dad09d7ce72b65a2e2ea218d430d7d718bc7115d authored by Roger Koenker on 09 January 2015, 00:00:00 UTC, committed by Gabor Csardi on 09 January 2015, 00:00:00 UTC
1 parent c4055f9
Tip revision: dad09d7ce72b65a2e2ea218d430d7d718bc7115d authored by Roger Koenker on 09 January 2015, 00:00:00 UTC
version 5.08
version 5.08
Tip revision: dad09d7
srisk.Rd
\name{srisk}
\alias{srisk}
\title{ 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{
\item{x}{ Matrix of asset returns }
\item{mu}{Required mean rate of return for the portfolio }
\item{lambda}{Lagrange multiplier associated with mean return constraint}
\item{alpha}{Choquet risk parameter, unimplemented }
\item{eps}{ tolerance parameter for mean return constraint}
}
\details{
The portfolio weights are estimated by solving a constrained least squares problem.
}
\value{
\item{pihat}{Optimal portfolio weights}
\item{muhat }{Mean return in sample}
\item{sighat }{Standard deviation of returns in sample}
}
\author{ R. Koenker }
\seealso{ \code{\link{qrisk}}}
\keyword{ regression }
Computing file changes ...
