Description
Critical Line Algorithm in Pure R.
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.
README.md
Master Thesis of Yanhao Shi
(advisor Martin Maechler, Seminar für Statistik, ETH Zurich)
The Critical Line Algorithm for Portfolio Optimization
Goals of this (private) git repo
- R code (versions) maintenance
- Packaging into a proper R package, using "public" data only.