quantreg: srisk – R documentation

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quantreg

srisk

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

`x`	Matrix of asset returns
`mu`	Required mean rate of return for the portfolio
`lambda`	Lagrange multiplier associated with mean return constraint
`alpha`	Choquet risk parameter, unimplemented
`eps`	tolerance parameter for mean return constraint

Details

The portfolio weights are estimated by solving a constrained least squares problem.

Value

`pihat`	Optimal portfolio weights
`muhat`	Mean return in sample
`sighat`	Standard deviation of returns in sample

Author(s)

R. Koenker

Roger Koenker [cre, aut], Stephen Portnoy [ctb] (Contributions to Censored QR code), Pin Tian Ng [ctb] (Contributions to Sparse QR code), Blaise Melly [ctb] (Contributions to preprocessing code), Achim Zeileis [ctb] (Contributions to dynrq code essentially identical to his dynlm code), Philip Grosjean [ctb] (Contributions to nlrq code), Cleve Moler [ctb] (author of several linpack routines), Yousef Saad [ctb] (author of sparskit2), Victor Chernozhukov [ctb] (contributions to extreme value inference code), Ivan Fernandez-Val [ctb] (contributions to extreme value inference code), Brian D Ripley [trl, ctb] (Initial (2001) R port from S (to my everlasting shame -- how could I have been so slow to adopt R!) and for numerous other suggestions and useful advice)

Initial release