MarkowitzR {MarkowitzR}

statistics concerning the Markowitz portfolio

Description

Inference on the Markowitz portfolio.

Markowitz Portfolio

Suppose x is a p-vector of returns of some assets with expected value \mu and covariance \Sigma. The Markowitz Portfolio is the portfolio w = \Sigma^{-1}\mu. Scale multiples of this portfolio solve various portfolio optimization problems, among them

\mathrm{argmax}_{w: w^{\top}\Sigma w \le R^2} \frac{\mu^{\top} w - r_0}{\sqrt{w^{\top}\Sigma w}}

This packages supports various statistical tests around the elements of the Markowitz Portfolio, and its Sharpe ratio, including the possibility of hedging, and scalar conditional heteroskedasticity and conditional expectation.

Legal Mumbo Jumbo

MarkowitzR is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License for more details.

Note

This package is maintained as a hobby.

Author(s)

Steven E. Pav [e-mail]

Maintainer: Steven E. Pav [e-mail] (ORCID)

References

Pav, S. E. "Asymptotic Distribution of the Markowitz Portfolio." 2013 https://arxiv.org/abs/1312.0557

Pav, S. E. "Portfolio Inference with this One Weird Trick." R in Finance, 2014 http://past.rinfinance.com/agenda/2014/talk/StevenPav.pdf

Britten-Jones, Mark. "The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights." The Journal of Finance 54, no. 2 (1999): 655–671. https://www.jstor.org/stable/2697722

Bodnar, Taras and Okhrin, Yarema. "On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory." Scandinavian Journal of Statistics 38, no. 2 (2011): 311–331. doi:10.1111/j.1467-9469.2011.00729.x

Markowitz, Harry. "Portfolio Selection." The Journal of Finance 7, no. 1 (1952): 77–91. https://www.jstor.org/stable/2975974

Brandt, Michael W. "Portfolio Choice Problems." Handbook of Financial Econometrics 1 (2009): 269–336. https://scholars.duke.edu/publication/964964

See Also

Useful links:

• https://github.com/shabbychef/MarkowitzR

• Report bugs at https://github.com/shabbychef/MarkowitzR/issues