Portfolio selection using R

Authors

  • Rohan Mishra Department of Statistics, Institute of Science, Banaras Hindu University, Varanasi, India
  • Bhagwat Ram DST Centre for Interdisciplinary Mathematical Sciences, Institute of Science, Banaras Hindu University, Varanasi, India

DOI:

https://doi.org/10.2298/YJOR181115002M

Keywords:

Portfolio selection, Programming

Abstract

In this paper, we consider the Markowitz mean-variance model to minimize the risk on two assets and develop the program in R software to improve the performance of the model for two real stocks data with various combinations of the portfolios. We have taken two real stocks data up to 4514 each from yahoo database finance using our R program to show how fast our calculations are.

References

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Published

2020-05-01

Issue

Vol. 30 No. 2 (2020)

Section

Research Articles

License

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