Fast design of risk parity portfolios for financial investment. The goal of the risk parity portfolio formulation is to equalize or distribute the risk contributions of the different assets, which is missing if we simply consider the overall volatility of the portfolio as in the mean-variance Markowitz portfolio. In addition to the vanilla formulation, where the risk contributions are perfectly equalized subject to no shortselling and budget constraints, many other formulations are considered that allow for box constraints and shortselling, as well as the inclusion of additional objectives like the expected return and overall variance. See vignette for a detailed documentation and comparison, with several illustrative examples.
For a quick help see the README file: GitHub-README.
For more details see the vignette: CRAN-vignette.
Ze Vinicius and Daniel P. Palomar
Y. Feng, and D. P. Palomar (2015). SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design. IEEE Trans. on Signal Processing, vol. 63, no. 19, pp. 5285-5300. <https://doi.org/10.1109/TSP.2015.2452219>
F. Spinu (2013). An Algorithm for Computing Risk Parity Weights. <https://dx.doi.org/10.2139/ssrn.2297383>
T. Griveau-Billion, J. Richard, and T. Roncalli (2013). A fast algorithm for computing High-dimensional risk parity portfolios. <https://arxiv.org/pdf/1311.4057.pdf>
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.