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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:

  1. That David H. Bailey and Marcos Lopez de Prado are the original authors.

  2. That this code is provided under a GPL license for non-commercial purposes.

  3. 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