CLA: Critical Line Algorithm in Pure R
Version 0.90-1

Implements 'Markovitz' Critical Line Algorithm ('CLA') for classical mean-variance portfolio optimization. Care has been taken for correctness in light of previous buggy implementations.

Getting started

Package details

AuthorYanhao Shi <[email protected]>, Martin Maechler <[email protected]>
Date of publication2018-02-06 09:51:58 UTC
MaintainerMartin Maechler <[email protected]>
LicenseGPL (>= 3) | file LICENSE
Package repositoryView on CRAN
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CLA documentation built on Feb. 6, 2018, 5:03 p.m.