CLA: Critical Line Algorithm in Pure R

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>
License: GPL (≥ 3) | file LICENSE
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:, r-release:, r-oldrel:
OS X binaries: r-release: CLA_0.95-0.tgz, r-oldrel: CLA_0.95-0.tgz
Old sources: CLA archive


Please use the canonical form to link to this page.