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]

CLA_0.96-3.tar.gz
CLA_0.96-3.zip(r-4.7-any)CLA_0.96-3.zip(r-4.6-any)CLA_0.96-3.zip(r-4.5-any)
CLA_0.96-3.tgz(r-4.6-any)CLA_0.96-3.tgz(r-4.5-any)
CLA_0.96-3.tar.gz(r-4.7-any)CLA_0.96-3.tar.gz(r-4.6-any)
CLA_0.96-3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
CLA/json (API)

# Install 'CLA' in R:
install.packages('CLA', repos = c('https://mmaechler.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:
  • muS.10ex - 10 Assets Example Data from Markowitz & Todd
  • muS.sp500 - Return Expectation and Covariance for "FRAPO"s SP500 data

On CRAN:

Conda:

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

2.78 score 12 scripts 388 downloads 33 mentions 5 exports 0 dependencies

Last updated from:2d6f7fbc57. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK125
source / vignettesOK177
linux-releaseOK125
macos-releaseOK98
macos-oldrelOK119
windows-develOK88
windows-releaseOK92
windows-oldrelOK100
wasm-releaseOK86

Exports:CLAfindMufindSigMSmuSigmaGarch

Dependencies: