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Questions tagged [markowitz]

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1answer
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short-sale constraint with nonpositive-definite matrix in portfolio optimization

I need help about portfolio optimization in R. I have inverted matrix and I want to use it as an input in portfolio optimization. It was non-positive definite before I have handled it. In portfolio ...
6
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1answer
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Sharpe Maximization under Quadratic Constraints

When doing Sharpe optimization $$ \max_x \frac{\mu^T x}{\sqrt{x^T Q x}} $$ there is a common trick (section 5.2) used to put the problem in convex form. You add a variable $\kappa$ such that $x = ...
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2answers
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Why does the Markowitz mean-variance model require the assumption of normality?

Given $N$ assets, the Markowitz mean-variance model requires expected returns, expected variances and a $N \times N$ covariance matrix. The joint distribution is fully defined by these measures. ...
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2answers
525 views

How to perform portfolio optimization with user-defined expected return and variances using R?

I found some functions for Markowitz mean variance portfolio optimization in R such as portfolio.optim in tseries package. ...
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2answers
2k views

Risk contribution of part of a portfolio

Is it quantitatively sound to say that if I have assets $x, y,$ and $z$ in a portfolio, and that the total variance of the portfolio is defined as $\sigma_p ^2 = w_x^2\sigma_x^2 + w_y^2\sigma_y^2 +...