CLA (0.95-0)

Critical Line Algorithm in Pure R.

https://gitlab.math.ethz.ch/maechler/CLA/
http://cran.r-project.org/web/packages/CLA

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 <syhelena@163.com>, Martin Maechler <maechler@stat.math.ethz.ch>

License: GPL (>= 3) | file LICENSE

Uses: Matrix, fGarch, FRAPO

Released 9 months ago.