Say that there are 5 assets with given mean values, standard deviations and correlations. Is it possible to find the expected return of a risk-seeking portfolio (maximum expected return) by using markowitz model ? I am guessing that since I have the means if I can somehow find the weights it should be fine but not sure..
2026-03-29 12:13:08.1774786388
Markowitz portfolio optimization
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Yes. If your returns vector is $\mu$ and your covariance matrix is $\Sigma$ then the optimal allocation is
$$w = \frac{1}{\lambda}\Sigma^{-1}\mu$$
where $\lambda$ is your risk aversion. There are many variations on this, taking into account target return, position limits, fully invested constraints, trading costs, parameter uncertainty, model risk etc.
Of course, no one actually uses the formula above in practice.