Commit 9855314a authored by Martin Maechler's avatar Martin Maechler
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Markowitz ("w", not "v") - thanks to Enrico Schumann

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DESCRIPTION

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@@ -8,8 +8,8 @@ Maintainer: Martin Maechler <maechler@stat.math.ethz.ch> 
Depends: R (>= 3.3.0)

Imports: stats, grDevices, graphics

Suggests: fGarch, FRAPO, Matrix

Description: Implements 'Markovitz' Critical Line Algorithm ('CLA') for classical

  mean-variance portfolio optimization, see Markovitz (1952) <doi:10.2307/2975974>.

Description: 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.

License: GPL (>= 3) | file LICENSE

Encoding: UTF-8

TODO

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** TODO Improve plot() method, using hyperbolic interpolation see  R/CLA.R  man/plot.CLA.Rd

** DONE CLA() should return a (S3) class, "CLA" w/ print() and plot() methods

** DONE findMu() and findSig() regression check examples *before* much changing: tests/findSigMu-ex.R

** DONE A. Norring's Masters thesis has small 10-asset example (from Markovitz & Todd).

** DONE A. Norring's Masters thesis has small 10-asset example (from Markowitz & Todd).

   We should add that as a minimally small data set to use in examples,

   e.g. plot().   His thesis is in ~/Betreute-Arbeiten/YanhaoShi/Previous_Work/