run_cla: Run the critical line algo

In alejandro-sotolongo/CriticalLineAlgo: Portfolio Optimization using the Critical Line Algorithm

Run the critical line algo

Description

Run the critical line algo

Usage

run_cla(
  mu_vec,
  cov_mat,
  low_bound = 0,
  up_bound = 1,
  max_iter = 1000,
  low_vol_break = 0,
  clean = TRUE
)

Arguments

mu_vec	vector or column matrix of expected returns
cov_mat	expected covariance matrix
low_bound	lower bound weights, see details
up_bound	upper bound weights, see details
max_iter	maximum number of iterations to run while searching for corner
low_vol_break	optional volatility level to exit the solver if reached
clean	boolean to remove solutions that violate the constraints

Details

The low_bound and up_bound weights are the corresponding upper and lower bound weights for each asset in the mu_vec. They can be entered as a single numeric value if all assets have the same upper or lower bound weight or a vector of upper and lower bound weights can be entered. The low_vol_break is an option to truncate the frontier at a certain volatility level. For example if for a given problem you don't care about portfolios with less than 2% volatility you can enter 0.02 to stop the solver once it finds a corner portfolio with 2% vol.

Value

a list containing the weights for each corner portfolio wgt_list

alejandro-sotolongo/CriticalLineAlgo documentation built on June 1, 2024, 1:18 p.m.