MarkowitzR

MaRDI QIDQ141496CRANFDO

Authors Steven E. Pav

Last update 21 August 2023

Copyright license GNU Lesser General Public License, version 3.0

Software version identifier 1.0.2, 0.1402, 0.1502, 0.9900.0, 1.0.1, 1.0.3

Description

A collection of tools for analyzing significance of Markowitz portfolios, using the delta method on the second moment matrix, <arXiv:1312.0557>.

Cites work

• Asymptotic distribution of the Markowitz portfolio

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