Markowitz Mean–Variance Optimization

Clifford S. Ang
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Clifford S. Ang: Compass Lexecon

Chapter Chapter 7 in Analyzing Financial Data and Implementing Financial Models Using R, 2021, pp 197-223 from Springer

Abstract: Abstract This chapter discusses mean–variance optimization based on the work of Harry Markowitz. We demonstrate the intuition of identifying mean–variance efficient portfolios and construction of the mean–variance efficient frontier through a simple two-asset example. We then show how to use quadratic programming to extend the two-asset portfolio to a multi-asset portfolio.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-64155-9_7

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DOI: 10.1007/978-3-030-64155-9_7

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