CLA

Authors Martin Maechler, Yanhao Shi,martin Maechler, Yanhao Shi

Last update 29 July 2024

Copyright license GNU General Public License, File License

Software version identifier 0.96-2, 0.90-0, 0.90-1, 0.95-0, 0.95-1, 0.96-0, 0.96-1, PACKAGES.rds, 0.96-3

Description

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.

Cites work

Portfolio Selection

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