| optimal.portfolio.markowitz {portfolio.optimization} | R Documentation |
Portfolio Optimization minimizing Standard Deviation
Description
portfolio.weights conducts a Portfolio Optimization minimizing Standard
Deviation based on Markowitz (1952).
Usage
optimal.portfolio.markowitz(model)
Arguments
model |
the portfolio.model to compute the portfolio of |
Value
the portfolio.model including the newly computed optimal portfolio
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
[Package portfolio.optimization version 1.0-0 Index]