Critical Line Algorithm in Pure R
Critical Line Algorithm for mean-variance optimal portfolio
Find mu(W) and W, given sigma(W) and CLA result
Find sigma(W) and W, given mu(W) and CLA result
Means (Mu) and Standard Deviations (Sigma) of the Turning Points from ...
Compute (mu, Sigma) for a Set of Assets via GARCH fit
Plotting CLA() results including Efficient Frontier
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.