cla

Subject

Portfolio Construction and Risk

Why This Module Exists

CLA solves constrained Markowitz problems efficiently with active-set style line updates.

Mathematical Foundations

MVO Objective

$\min_w\;\frac{1}{2}w^T\Sigma w-\lambda\mu^T w$

Budget Constraint

$\mathbf{1}^T w=1$

Usage Examples

Rust

Prepare covariance for CLA

use nalgebra::DMatrix;
use openquant::cla::covariance;

let returns = DMatrix::from_row_slice(3, 2, &[0.01, 0.02, -0.01, 0.01, 0.015, 0.03]);
let sigma = covariance(&returns);

API Reference

Rust API

• CLA
• covariance
• ReturnsEstimation

Implementation Notes

• CLA behavior depends on weight bounds and return estimates.
• Use robust covariance estimators when sample size is small.