An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Portfolio optimization is one of the problems most frequently encountered by financial practitioners. The main goal of this paper is to fill a gap in the literature by providing a well-documented, step-by-step open-source implementation of Critical Line Algorithm (CLA) in scientific language. The co...

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Bibliographic Details
Main Authors: David H. Bailey, Marcos López de Prado
Format: Article
Language:English
Published: MDPI AG 2013-03-01
Series:Algorithms
Subjects:
portfolio selection
quadratic programming
portfolio optimization
constrained efficient frontier
turning point
Kuhn-Tucker conditions
risk aversion
Online Access:http://www.mdpi.com/1999-4893/6/1/169

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http://www.mdpi.com/1999-4893/6/1/169

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