Let's say I am performing mean-variance optimization subject to some weight constraints.
I'd like to identify the set of corner portfolios so that I can interpolate the entire efficient frontier. A corner portfolio defines a segment on the minimum-variance frontier within which i) portfolios hold identical assets, and ii) the rate of change of asset weights in moving from one portfolio to another is constant. Incidentally, The Global Minimum Variance portfolio is a corner portfolio.
Any convex combination of two adjacent corner portfolios is also a portfolio on the efficient frontier. So these corner portfolios can drastically improve the performance of tracing out the frontier.
Are there tools in R to identify the corner portfolios, or a research paper on an efficient algorithm to identify the portfolios? Markowitz himself introduced the critical line algorithm, however, I recall Sharpe and others have some approaches as well. R or matrix calculus approaches are preferred but I'll take research citations as well.