RiskParity: Risk Parity Portfolio

In FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

Description

Computing a Risk Parity portfolio weights from the estimated covariance matrix of return series.

Usage

RiskParity(cov.mat)

Arguments

cov.mat

an estimated p*p covariance matrix

Value

a numerical vector containing the estimated portfolio weights

Examples

data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
RiskParity(cov(assets))

Example output

   ABT    LLY    MRK    PFE      F     GM     BP    CVX     RD    XOM 
0.1347 0.0949 0.0658 0.0721 0.0743 0.1088 0.1029 0.1239 0.0849 0.1378 

FinCovRegularization documentation built on May 1, 2019, 8:48 p.m.