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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.

Version: 0.96-3
Depends: R (≥ 3.6.0)
Imports: stats, grDevices, graphics, utils
Suggests: fGarch, FRAPO, Matrix, sfsmisc
Published: 2024-07-29
DOI: 10.32614/CRAN.package.CLA
Author: Yanhao Shi [aut], Martin Maechler ORCID iD [aut, cre]
Maintainer: Martin Maechler <maechler at stat.math.ethz.ch>
License: GPL (≥ 3) | file LICENSE
URL: https://gitlab.math.ethz.ch/maechler/CLA/
NeedsCompilation: no
Materials: README NEWS
CRAN checks: CLA results

Documentation:

Reference manual: CLA.pdf

Downloads:

Package source: CLA_0.96-3.tar.gz
Windows binaries: r-devel: CLA_0.96-3.zip, r-release: CLA_0.96-3.zip, r-oldrel: CLA_0.96-3.zip
macOS binaries: r-release (arm64): CLA_0.96-3.tgz, r-oldrel (arm64): CLA_0.96-3.tgz, r-release (x86_64): CLA_0.96-3.tgz, r-oldrel (x86_64): CLA_0.96-3.tgz
Old sources: CLA archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.