You will find plenty of Markowitz CLA implementations here. And good ones. Also look for the Markowitz optimisations here using scipy optimize etc. Also see a thread with a simpler method for absolute deviation. Sorry to be cryptic. One of the Q team also coded an actual CLA here somewhere but the code is very dense and personally I decided to settle for one of the simpler options. Seek and ye shall find. It's all on this forum.

Actually at heart it is very simple to understand the concepts involved in the efficient frontier and you can demonstrate this to yourself using say 3 made up returns and volatilities. Stock 1: return 4% vol 8%, stock 2 return 6% vol 10 % and so on. Then generate 10 or 15 thousand portfolios with random weights and plot the resulting cagr and Vol for the portfolio. Vol calcs are a little more complicated but you can easily enough Google the formula.

Graph the resulting cagr and Vol generated for each of the 15,000 portfolio and you will see the efficient portfolio line.

The you either pick your target vol and choose the portfolio weighting with the highest return for that vol or vice versa.

Repeat each rebalance period.

Of course in practice you would want to automate this but as I say there are plenty of examples on the forum.

I like Ilya's paper very much but don't get too carried away by the results quoted. There are lots of hidden factors to consider.

Anyway I found the spreadsheet route a very simple way to get my head around a basically simple concept which is all too often wrapped in useless jargon and maths speak.

Actually if you want I can put the spreadsheet on my website?

Anthony

I do like to see that spreadsheet.

Markowitz Efficient Frontier Spreadsheet

Click the link on the page and it will download the spreadsheet for you...I hope!

Here is a post explaining the spreadsheet: Post