In trying to evaluate a portfolio allocation, I want to do a reverse markowitz, that is find the implied returns that would result in the current allocation to be optimal. This results in some of the implied returns to be negative, which i have a hard time grasping since all the weights are positive. Am I missing something in my calculation or could this in fact be the case?
Classical markowitz is w=E[r]*E[O] where r is a 1*n vector of returns, and O is the NN covariance matrix. Im simply isolating for E[r] instead by E[r]=wE[O]^-1.