Commit 9855314a authored by Martin Maechler's avatar Martin Maechler

Markowitz ("w", not "v") - thanks to Enrico Schumann

parent feb4e2ec
......@@ -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
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......@@ -14,7 +14,7 @@
** 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/
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