An open-source implementation of the critical-line algorithm for portfolio optimization

DOI10.3390/A6010169MaRDI QIDQ1736552zbMATH OpenOpenAlexWikidataFDO

Authors D. H. Bailey, Marcos López de Prado

Publication date 26 March 2019

Published in Algorithms (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3390/a6010169

zbMATH Keywords

quadratic programmingportfolio optimizationportfolio selectionrisk aversionturning pointKuhn-Tucker conditionsconstrained efficient frontier

Mathematics Subject Classification ID

Quadratic programming (90C20) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3233290 (Why is no real title available?)
• Risk and asset allocation.
• Sequential Minimax Search for a Maximum
• The Simplex Method for Quadratic Programming

Cited in

(2)

• CLA
• Multicriteria portfolio construction with Python

Describes a project that uses

Uses Software

• Python

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