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cvxgrp / cvxcla

critical line algorithm for efficient frontier
Apache License 2.0
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Integrate solution by Philipp Schiele #39

Closed tschm closed 1 year ago

tschm commented 1 year ago

https://github.com/phschiele/PyCLA

tschm commented 1 year ago

@phschiele

tschm commented 1 year ago

The Markowitz version did not work with all variables either up or down. At least one variable has to be free after finding the first turning point

tschm commented 1 year ago

For now I have implemented Lopez de Prado (Bailey) and the Markowitz code. They are both children of the CLAUX class. The class exposes you to the mean, upper and lower bounds, covariance, a logger, a tolerance and stores the turning points. I would aim for some common API between the solvers...