%0 Journal Article
%T An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
%A David H. Bailey
%A Marcos L¨®pez de Prado
%J Algorithms
%D 2013
%I MDPI AG
%R 10.3390/a6010169
%X Portfolio optimization is one of the problems most frequently encountered by financial practitioners. The main goal of this paper is to fill a gap in the literature by providing a well-documented, step-by-step open-source implementation of Critical Line Algorithm (CLA) in scientific language. The code is implemented as a Python class object, which allows it to be imported like any other Python module, and integrated seamlessly with pre-existing code. We discuss the logic behind CLA following the algorithm¡¯s decision flow. In addition, we developed several utilities that support finding answers to recurrent practical problems. We believe this publication will offer a better alternative to financial practitioners, many of whom are currently relying on generic-purpose optimizers which often deliver suboptimal solutions. The source code discussed in this paper can be downloaded at the authors¡¯ websites (see Appendix).
%K portfolio selection
%K quadratic programming
%K portfolio optimization
%K constrained efficient frontier
%K turning point
%K Kuhn-Tucker conditions
%K risk aversion
%U http://www.mdpi.com/1999-4893/6/1/169