Learn R Programming

Master Thesis of Yanhao Shi

(advisor Martin Maechler, Seminar für Statistik, ETH Zurich)

The Critical Line Algorithm for Portfolio Optimization

Goals of this (private) git repo

  1. R code (versions) maintenance
  2. Packaging into a proper R package, using "public" data only

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Version

Install

install.packages('CLA')

Monthly Downloads

251

Version

0.96-3

License

GPL (>= 3) | file LICENSE

Maintainer

Martin Maechler

Last Published

July 29th, 2024

Functions in CLA (0.96-3)

muS.10ex

10 Assets Example Data from Markowitz & Todd
muSigmaGarch

Compute (mu, Sigma) for a Set of Assets via GARCH fit
MS

Means (Mu) and Standard Deviations (Sigma) of the “Turning Points” from CLA
plot.CLA

Plotting CLA() results including Efficient Frontier
findSig

Find sigma(W) and W, given mu(W) and CLA result
CLA

Critical Line Algorithm for mean-variance optimal portfolio
findMu

Find mu(W) and W, given sigma(W) and CLA result
muS.sp500

Return Expectation and Covariance for "FRAPO"s SP500 data