CLA (0.95-1)

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Critical Line Algorithm in Pure R.

Implements 'Markovitz' Critical Line Algorithm ('CLA') for classical mean-variance portfolio optimization, see Markovitz (1952) . Care has been taken for correctness in light of previous buggy implementations.

Maintainer: Martin Maechler
Author(s): Yanhao Shi <>, Martin Maechler <>

License: GPL (>= 3) | file LICENSE

Uses: Matrix, fGarch, FRAPO

Released 11 months ago.

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