markowitz.model {rportfolio} | R Documentation |
Calculates the optimum Portfolio weights
markowitz.model(R1, R2)
R1 |
Portfolio Returns |
R2 |
Benchmark Returns |
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.
Returns the optimum portfolio weights and their risk and return profile.
markowitz.model(funds$ret1, funds$rfr)