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.

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Description file content

Package
CLA
Version
0.95-1
Date
2019-03-18
Title
Critical Line Algorithm in Pure R
Author
Yanhao Shi , Martin Maechler
Maintainer
Martin Maechler
Depends
R (>= 3.2.0)
Imports
stats, grDevices, graphics
Suggests
fGarch, FRAPO, Matrix
Description
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.
License
GPL (>= 3) | file LICENSE
Encoding
UTF-8
URL
NeedsCompilation
no
Packaged
2019-05-09 16:17:19 UTC; maechler
Repository
CRAN
Date/Publication
2019-05-11 15:00:03 UTC

install.packages('CLA')

0.95-1

13 days ago

https://gitlab.math.ethz.ch/maechler/CLA/

Martin Maechler

GPL (>= 3) | file LICENSE

Depends on

R (>= 3.2.0)

Imports

stats, grDevices, graphics

Suggests

fGarch, FRAPO, Matrix

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