Package: CLA 0.96-3

CLA: Critical Line Algorithm in Pure R

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.

Authors:Yanhao Shi [aut], Martin Maechler [aut, cre]

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CLA.pdf |CLA.html✨
CLA/json (API)
NEWS

# Install 'CLA' in R:
install.packages('CLA', repos = c('https://mmaechler.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • muS.10ex - 10 Assets Example Data from Markowitz & Todd
  • muS.sp500 - Return Expectation and Covariance for "FRAPO"s SP500 data

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.70 score 8 scripts 298 downloads 33 mentions 5 exports 0 dependencies

Last updated 4 months agofrom:2d6f7fbc57. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 03 2024
R-4.5-winOKNov 03 2024
R-4.5-linuxOKNov 03 2024
R-4.4-winOKNov 03 2024
R-4.4-macOKNov 03 2024
R-4.3-winOKNov 03 2024
R-4.3-macOKNov 03 2024

Exports:CLAfindMufindSigMSmuSigmaGarch

Dependencies: