{
  "abstract": "Schmelzer and Hastie prove that Markowitz's Critical Line Algorithm and the LASSO path trace the same curve. This companion note checks that result numerically with a stock LASSO solver, \\texttt{lars\\_path} from \\texttt{scikit-learn}, and no portfolio software. It covers long--short portfolios under a leverage cap, fixed leverage with varying risk appetite, and the classical long-only, fully invested frontier. Every corner the path returns meets its own optimality conditions to about $10^{-13}$ and agrees with independent quadratic-programming solvers, on factor models of up to 500 assets, on the Fama--French size and book-to-market portfolios, and on daily returns of 494 S\\&P~500 stocks. Called naively, the long-only path stops at the maximum-Sharpe portfolio. One shift of the response, by an amount computed in advance, lets a single call reach the minimum-variance portfolio. The script, its checks, the Fama--French returns and an R cross-check are published, with a locked environment, so that anyone can repeat them.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2609.37108",
  "author_total": 1,
  "authors": [
    {
      "name": "Thomas Schmelzer"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/e15xaxzz2crsj.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2609.37108",
  "fulltext_url": null,
  "id": "e15xaxzz2crsj",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2609.37108",
  "language": null,
  "licence": "CC-BY-4.0",
  "licence_label": "CC BY 4.0",
  "licence_source": "article",
  "licence_url": "http://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "q-fin.CP"
    ],
    [
      "arxiv",
      "stat.ME"
    ],
    [
      "openalex",
      "1803|Risk and Portfolio Optimization"
    ]
  ],
  "openalex": "W7214964067",
  "pdf_url": "https://arxiv.org/pdf/2609.37108",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-14",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/e15xaxzz2crsj.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:29:42Z",
      "native_id": "2609.37108",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2609.37108"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:stat.ME",
      "subfield": "statistics"
    }
  ],
  "title": "The Efficient Frontier from a LASSO Solver",
  "title_text": "The Efficient Frontier from a LASSO Solver",
  "type": "preprint",
  "updated_at": "2026-10-30T12:29:42Z",
  "url": "https://research.draconitic.com/paper/e15xaxzz2crsj",
  "venue": "arXiv",
  "versions": []
}