Critical Line Algorithm in Pure R


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Documentation for package ‘CLA’ version 0.96-1

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CLA Critical Line Algorithm for mean-variance optimal portfolio
findMu Find mu(W) and W, given sigma(W) and CLA result
findSig Find sigma(W) and W, given mu(W) and CLA result
MS Means (Mu) and Standard Deviations (Sigma) of the "Turning Points" from CLA
muS.10ex 10 Assets Example Data from Markowitz & Todd
muS.sp500 Return Expectation and Covariance for "FRAPO"s SP500 data
muSigmaGarch Compute (mu, Sigma) for a Set of Assets via GARCH fit
plot.CLA Plotting CLA() results including Efficient Frontier