I apologize if this question is posted in the wrong place. I am using
portfolio.optim to run an optimization on a stock portfolio. As I
understand modern portfolio theory, to run a mean-variance optimization
of the allocation for a portfolio, you must specify an expected return.
The examples at the bottom of the help page do not provide an expected
return (pm in the parameter list).
Two questions: a) What kind of portfolio results when no expected return
is provided? b) Is it possible to do a market portfolio optimization on
the Sharpe ratio with this function??
Thanks for any help.
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