Markowitz' Critical Line Algorithm
Hoogenband, M.P.J. van den
MetadataShow full item record
The goal of this thesis is to give a detailed theoretical background into the workings of the Critical Line Algorithm created by Harry Markowitz. First, we will give an introduction into probability theory, and then some background information on portfolio theory and optimization theory. Furthermore there will be a description, and solution of the problem for selecting an optimal portfolio. Finally the used algorithm is explained, both the working and the code.