RiskPortfolios
(Ardia et al., 2017a) is an R package for constructing risk-based portfolios dedicated to portfolio managers
and quantitative analysts. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted,
equal-risk-contribution, maximum diversification, and risk-efficient portfolios. As risk-based portfolios are
mainly based on covariances, the package also provides a large set of covariance matrix estimators. See Ardia et al. (2017b) for details.
By using RiskPortfolios
you agree to the following rules:
1) You must cite Ardia et al. (2017a) in working papers and published papers that use RiskPortfolios
.
2) You must place the following URL in a footnote to help others find RiskPortfolios
: https://CRAN.R-project.org/package=RiskPortfolios.
3) You assume all risk for the use of RiskPortfolios
.
Ardia, D., Boudt, K., Gagnon-Fleury, J.-P. (2017a). RiskPortfolios: Computation of risk-based portfolios in R. Journal of Open Source Software, 10(2), 1. https://doi.org/10.21105/joss.00171
Ardia, D., Bolliger, G., Boudt, K., Gagnon-Fleury, J.-P. (2017b). The impact of covariance misspecification in risk-based portfolios. Annals of Operations Research, 254(1-2), 1-16. https://doi.org/10.1007/s10479-017-2474-7 https://doi.org/10.2139/ssrn.2650644
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.