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CLA: Critical Line Algorithm in Pure R
Implements 'Markowitz' Critical Line Algorithm ('CLA') for classical mean-variance portfolio optimization, see Markowitz (1952) <doi:10.2307/2975974>. Care has been taken for correctness in light of previous buggy implementations.
Getting started
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Package details |
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| Author | Yanhao Shi [aut], Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>) |
| Maintainer | Martin Maechler <maechler@stat.math.ethz.ch> |
| License | GPL (>= 3) | file LICENSE |
| Version | 0.96-3 |
| URL | https://gitlab.math.ethz.ch/maechler/CLA/ |
| Package repository | View on CRAN |
| Installation |
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