markowitz.model {rportfolio}

Markowitz Mean-Variance Model

Description

Calculates the optimum Portfolio weights

Usage

markowitz.model(R1, R2)

Arguments

R1

Portfolio Returns

R2

Benchmark Returns

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.

Value

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

Examples

markowitz.model(funds$ret1, funds$rfr)