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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
DOI: 10.32614/CRAN.package.MarkowitzR
Author: Steven E. Pav ORCID iD [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:

Please use the canonical form https://CRAN.R-project.org/package=MarkowitzR to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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