Package tech.nmfin.portfoliooptimization.markowitz
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Class Summary Class Description MarkowitzByCLM Solves for the optimal weights in the Markowitz formulation by critical line method.MarkowitzByQP Modern portfolio theory (MPT) is a theory of investment which attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets.