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

DOI10.3390/A6010169zbMATH Open1461.91266OpenAlexW3124796278WikidataQ114938032 ScholiaQ114938032MaRDI QIDQ1736552FDOQ1736552

Authors: D. H. Bailey, Marcos López de Prado 

Publication date: 26 March 2019

Published in: Algorithms (Search for Journal in Brave)

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

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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)

Cites Work

• The Simplex Method for Quadratic Programming
• Risk and asset allocation.
• Sequential Minimax Search for a Maximum
• Title not available (Why is that?)

Cited In (2)

• Multicriteria portfolio construction with Python
• CLA

Uses Software

• Python

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