AMPL implementation of the minimum covariance portfolio. Data is covariance matrix of 11 SPDR funds.The R code graphs the efficient frontier and the max sharpe ratio line. Email me for more code or questions at agrimabahl [at] berkeley [dot] edu
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View Code? Open in Web Editor NEWAMPL implementation of the minimum covariance portfolio. Email me for more code or questions at agrimabahl [at] berkeley [dot] edu