CRAN/E | CLA

CLA

Critical Line Algorithm in Pure R

Installation

About

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.

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

Key Metrics

Version 0.96-2
R ≥ 3.6.0
Published 2021-12-16 855 days ago
Needs compilation? no
License GPL (≥ 3)
License File
CRAN checks CLA results

Downloads

Yesterday 4
Last 7 days 19 -64%
Last 30 days 240 -15%
Last 90 days 1.018 +28%
Last 365 days 3.493 -9%

Maintainer

Maintainer

Martin Maechler

maechler@stat.math.ethz.ch

Authors

Yanhao Shi
Martin Maechler

Material

README
NEWS
Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

CLA archive

Depends

R ≥ 3.6.0

Imports

stats
grDevices
graphics
utils

Suggests

fGarch
FRAPO
Matrix
sfsmisc