Implements 'Markovitz' Critical Line Algorithm ('CLA') for classical mean-variance portfolio optimization, see Markovitz (1952) <doi:10.2307/2975974>. Care has been taken for correctness in light of previous buggy implementations.
| Version: | 0.95-0 |
| Depends: | R (≥ 3.2.0) |
| Imports: | stats, grDevices, graphics |
| Suggests: | fGarch, FRAPO, Matrix |
| Published: | 2019-03-13 |
| Author: | Yanhao Shi, Martin Maechler |
| Maintainer: | Martin Maechler <maechler at stat.math.ethz.ch> |
| License: | GPL (≥ 3) | file LICENSE |
| URL: | https://gitlab.math.ethz.ch/maechler/CLA/ |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| CRAN checks: | CLA results |
| Reference manual: | CLA.pdf |
| Package source: | CLA_0.95-0.tar.gz |
| Windows binaries: | r-devel: CLA_0.95-0.zip, r-release: CLA_0.95-0.zip, r-oldrel: CLA_0.95-0.zip |
| OS X binaries: | r-release: CLA_0.95-0.tgz, r-oldrel: CLA_0.95-0.tgz |
| Old sources: | CLA archive |
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