Cla
An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
Install / Use
/learn @mdengler/ClaREADME
CLA - An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
Authors
David H. Bailey and Marcos López de Prado
Quickstart
python ./test.py
Introduction
This is an open-source implementation of the Critical-Line Algorithm to solve portfolio optimization, an important financial problem. For more details, see the Authors' Paper at http://ssrn.com/abstract=2197616 .
Permission note
I (Martin Dengler) have been given the OK to upload this code to github, as long as I indicate:
-
That David H. Bailey and Marcos Lopez de Prado are the original authors.
-
That this code is provided under a GPL license for non-commercial purposes.
-
That the original authors retain the rights as it relates to commercial applications.
The accompanying paper was published in an open-access application: http://ssrn.com/abstract=2197616
The original code is here:
http://www.quantresearch.org/CLA.py.txt http://www.quantresearch.org/CLA_Main.py.txt
A sample dataset can be found here: http://www.quantresearch.org/CLA_Data.csv.txt
