An open-source implementation of the critical-line algorithm for portfolio optimization

DOI10.3390/A6010169zbMath1461.91266OpenAlexW3124796278WikidataQ114938032 ScholiaQ114938032MaRDI QIDQ1736552

Marcos López de Prado, David H. Bailey

Publication date: 26 March 2019

Published in: Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/a6010169

zbMATH Keywords

quadratic programmingturning pointportfolio optimizationrisk aversionportfolio selectionKuhn-Tucker conditionsconstrained efficient frontier

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (1)

CLA

Uses Software

• Python

Cites Work

• Unnamed Item
• The Simplex Method for Quadratic Programming
• Sequential Minimax Search for a Maximum
• Risk and asset allocation.

This page was built for publication: An open-source implementation of the critical-line algorithm for portfolio optimization