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cff-version: 1.2.0
message: "If you use this software, please cite it using the metadata below."
title: cvxcla
abstract: >-
  A Python implementation of Markowitz's Critical Line Algorithm (CLA), which
  computes the entire efficient frontier of a portfolio-optimization problem
  exactly, as a finite list of turning points, under arbitrary linear equality
  constraints and bounds on the weights. Covariance is consumed through an
  operator protocol, so dense, Gram and diagonal-plus-low-rank factor models
  are all traced without ever forming an n-by-n matrix. The same parametric
  active-set engine also traces the LASSO regularisation path, including
  general inequality constraints and the non-negative LASSO.
type: software
authors:
  - given-names: Thomas
    family-names: Schmelzer
    email: thomas.schmelzer@gmail.com
    affiliation: Jebel Quant Research
  - given-names: Philipp
    family-names: Schiele
    email: pschiele@stanford.edu
repository-code: "https://github.com/cvxgrp/cvxcla"
url: "https://www.cvxgrp.org/cvxcla"
license: MIT
version: 2.0.0
date-released: "2026-08-31"
doi: 10.5281/zenodo.22209208
identifiers:
  - type: doi
    value: 10.5281/zenodo.22209208
    description: >-
      Concept DOI, which always resolves to the most recent release. Cite this
      when referring to cvxcla in general.
  - type: doi
    value: 10.5281/zenodo.22209209
    description: >-
      Version DOI for release v2.0.0. Cite this when the exact release used
      matters for reproducibility.
keywords:
  - portfolio optimization
  - critical line algorithm
  - efficient frontier
  - Markowitz
  - quadratic programming
  - active-set method
  - parametric programming
  - LASSO
  - convex optimization
  - Python
references:
  - type: report
    title: >-
      The Optimization of Quadratic Functions Subject to Linear Constraints
    authors:
      - given-names: Harry
        family-names: Markowitz
    institution:
      name: RAND Corporation
    number: RM-1438
    year: 1955
    url: "https://www.rand.org/pubs/research_memoranda/RM1438.html"