Implements 'Markovitz' Critical Line Algorithm ('CLA') for classical mean-variance portfolio optimization. Care has been taken for correctness in light of previous buggy implementations.
|Author||Yanhao Shi <[email protected]>, Martin Maechler <[email protected]>|
|Maintainer||Martin Maechler <[email protected]>|
|License||GPL (>= 3) | file LICENSE|
|Package repository||View on CRAN|
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