MarkowitzR: Statistical Significance of the Markowitz Portfolio
A collection of tools for analyzing significance of Markowitz portfolios, using the delta method on the second moment matrix, <doi:10.48550/arXiv.1312.0557>.
| Version: | 1.0.3 |
| Depends: | R (≥ 3.0.2) |
| Imports: | matrixcalc, gtools |
| Suggests: | sandwich, SharpeR, testthat, formatR, knitr |
| Published: | 2023-08-21 |
| Author: | Steven E. Pav 
[aut, cre] |
| Maintainer: | Steven E. Pav <shabbychef at gmail.com> |
| BugReports: | https://github.com/shabbychef/MarkowitzR/issues |
| License: | LGPL-3 |
| URL: | https://github.com/shabbychef/MarkowitzR |
| NeedsCompilation: | no |
| Citation: | MarkowitzR citation info |
| Materials: | README ChangeLog |
| In views: | Finance |
| CRAN checks: | MarkowitzR results |
Documentation:
| Reference manual: | MarkowitzR.pdf |
| Vignettes: |
Asymptotic Distribution of the Markowitz Portfolio Using the MarkowitzR Package |
Downloads:
| Package source: | MarkowitzR_1.0.3.tar.gz |
| Windows binaries: | r-devel: MarkowitzR_1.0.3.zip, r-release: MarkowitzR_1.0.3.zip, r-oldrel: MarkowitzR_1.0.3.zip |
| macOS binaries: | r-release (arm64): MarkowitzR_1.0.3.tgz, r-oldrel (arm64): MarkowitzR_1.0.3.tgz, r-release (x86_64): MarkowitzR_1.0.3.tgz, r-oldrel (x86_64): MarkowitzR_1.0.3.tgz |
| Old sources: | MarkowitzR archive |
Linking:
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