# Questions tagged [markowitz]

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62 questions
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### Matlab Portfolio Optimization with bid ask spread

I'm trying to find the optimal portfolio of options and stock which minimizes the standard deviation of the portfolio returns but also taking into consideration the bid and ask prices of the assets. ...
1answer
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### Markowitz Mean-Variance Implied Returns

What is the closed form solution for the following inverse Markowitz problem? Given a mean-variance optimized fully invested portfolio $X$, a risk aversion parameter $\lambda$ and a var-covar ...
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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 ...
3answers
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### Finding Expression for Optimal Markowitz Weights

So there are two assets with return rates $r_1$ and $r_2$ which have identical variances and a correlation coefficient $p$. The risk free rate is $r_f$. I need to find an expression for the optimal ...
4answers
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### Does Modern Portfolio Theory align with EMH?

I came to the conclusion that in literature Markowitz' Portfolio Theory is believed to be compliant with the Efficient Market Hypothesis. The weakest form states that the current price fully ...
1answer
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### What are the assumptions of portfolio optimisation with higher moments?

I was wondering whether there are a set of assumptions for portfolio optimisation with higher moments (including kurtosis and skewness) as there are for regular mean-variance optimisation?
1answer
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### What is the smart way to reallocate money?

We are running a portfolio of fund managers in our fund. When one of the managers hits the max DD constraint we pull money from this manager. This may happen in the middle of the allocation period and ...
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677 views

### Are minimum-risk and minimum-variance portfolios equivalent?

When reading a paper by DeMiguel and Nogales (2007; http://papers.ssrn.com/sol3/papers.cfm?abstract_id=911596), I came across the following formulation: Comparing the proposed minimum-risk ...