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Martin Maechler
CLA
Commits
759f86e5
Commit
759f86e5
authored
Jan 26, 2018
by
Martin Maechler
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man/CLA.Rd
man/CLA.Rd
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TODO
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759f86e5
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@@ -2,10 +2,11 @@
* ASAP (no longer "Before release of package")
** check arguments e.g., lB <= uB, sum upper Bounds >= 1
** TODO References -->
***
1) Master thesis: I'd like the thesis to be on our web page
***
2) References from the thesis, including the "buried" python-paper with *WRONG* algo
** TODO References -->
(partly done)
***
DONE 1) References from the thesis, including the "buried" python-paper with *WRONG* algo
***
TODO 2) Master thesis: I'd like the thesis to be on our web page
** DONE CLA() should return a (S3) class, "CLA" w/ print() and plot() methods
** TODO findMu() and findSig() regression check examples *before* changing R/findSigMu.R
** TODO Improve plot() method, using hyperbolic interpolation see R/CLA.R man/plot.CLA.Rd
** TODO A. Norring's Masters thesis has a small 12-asset example (from a published source).
We should add that as a minimally small data set to use in examples,
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man/CLA.Rd
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759f86e5
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@@ -5,6 +5,10 @@
The Critical Line Algorithm was first proposed by Markowitz(1987) to
solve the mean-variance optimal portfolio problem.
We solve the problem with \dQuote{box} constraints, i.e., allow to
specify lower and upper bounds (via \code{lB} and \code{uB}) for each
asset weight.
Here we provide a pure \R{} implementation, quite fine tuned and
debugged compared to earlier ones.
}
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@@ -42,7 +46,8 @@ CLA(mu, covar, lB, uB, tol.lambda = 1e-07,
\code{\link{list}} with components
\item{weights_set}{a \eqn{n \times m}{n * m} matrix of asset weights,
corresponding to the \eqn{m} steps that the CLA took.}
corresponding to the \eqn{m} steps that the CLA has completed or the
\eqn{m} \dQuote{turning points} it has computed.}
\item{free_indices}{a \code{\link{list}} of length \code{m}, the
\eqn{k}-th component with the indices in \eqn{\{1,\dots,n\}} of
those assets whose weights were not at the boundary afater ... }
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@@ -85,7 +90,8 @@ CLA(mu, covar, lB, uB, tol.lambda = 1e-07,
thesis). Current implementation: Yanhao Shi and Martin Maechler
}
\seealso{
\code{\link{MS}}.
\code{\link{MS}};
for plotting \code{CLA} results: \code{\link{plot.CLA}}.
}
\examples{
data(muS.sp500)
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@@ -103,6 +109,5 @@ if(require(Matrix)) { ## visualize how weights change "along turning points"
main = "CLA(muS.sp500 <random_sample(size=24)>) $ weights_set",
xlab = "turning point", ylab = "asset number"))
}
}
%\keyword{ ~kwd1 }% use one of RShowDoc("KEYWORDS")
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