Preprints on the identity between Markowitz's Critical Line Algorithm and the LASSO path, each with its LaTeX source and the code and data behind it.
preprints/lasso/— The Efficient Frontier from a LASSO Solver (arXiv:2609.37108): one script that reproduces every figure and number, a script that fetches the S&P 500 returns it uses, and an R check. Seepreprints/lasso/README.md.preprints/constrained_lasso/— The Constrained LASSO by the Critical Line Algorithm: the identity run the other way, computing constrained-LASSO paths with an unmodified CLA, and one script that reproduces every figure and number. Seepreprints/constrained_lasso/README.md.
Each folder in preprints/ holds one preprint: a single .tex file with a
\documentclass, the Python behind its experiments, and a Makefile that is just
include ../Makefile. The rules (pdf, figures, test, clean) live in
preprints/Makefile. A make_figures.py, if present, writes the
figures to figures/.
make -C preprints pdf # build every preprint
make -C preprints/lasso pdf # build oneEvery pull request into main builds all the preprints. When it is merged, the PDFs are
published on the paper branch, with an index.html that links each
one by its title. GitHub Pages serves that branch at
https://jebel-quant.github.io/lasso/.