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>
License: LGPL-3
NeedsCompilation: no
Citation: MarkowitzR citation info
Materials: README ChangeLog
In views: Finance
CRAN checks: MarkowitzR results


Reference manual: MarkowitzR.pdf
Vignettes: Asymptotic Distribution of the Markowitz Portfolio
Using the MarkowitzR Package


Package source: MarkowitzR_1.0.3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
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


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