Special Issue "Algorithms and Financial Optimization"

A special issue of Algorithms (ISSN 1999-4893).

Deadline for manuscript submissions: closed (30 April 2013)

Special Issue Information

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Published Papers (1 paper)

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Research

Open AccessArticle An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
Algorithms 2013, 6(1), 169-196; doi:10.3390/a6010169
Received: 29 January 2013 / Revised: 8 March 2013 / Accepted: 18 March 2013 / Published: 22 March 2013
Cited by 1 | PDF Full-text (401 KB) | HTML Full-text | XML Full-text
Abstract
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
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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). Full article
(This article belongs to the Special Issue Algorithms and Financial Optimization)
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