bpfaff/mcrp: Multiple criteria risk parity optimization

Implementation of multiple criteria risk parity optimization with respect to the portfolio's variance, skewness and kurtosis.

Getting started

Package details

AuthorBernhard Pfaff [aut, cre]
MaintainerBernhard Pfaff <[email protected]>
LicenseGPL-3
Version0.0-1
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("bpfaff/mcrp")
bpfaff/mcrp documentation built on May 13, 2019, 2:24 a.m.