SolveRiskParity: SolveRiskParity()
In jspinney-nbimc/mqim6604: R package for MQIM 6604 - Quantitative Portfolio Management at UNB
Description
Usage
Arguments
Value
Description
Finds the risk parity portfolio for a given covariance matrix (defined as
an equal risk contribution portfolio where pctr_i = pctr_j for all i, j).
Uses "Algorithm 1" of Chaves et al (2012) "Efficient Algorithms for
Computing Risk Parity Portfolio Weights".
Usage
1
SolveRiskParity(sigma, err_tol = 1e-08)
Arguments
sigma
A variance-covariance matrix for assets in the investment universe.
err_tol
Optional parameter. Tolerance for exiting while loop (may
experience convergence issues with large problems - if results do not
produce expected pctr_i = pctr_j forall i, j then test smaller error
err_tol (default = 0.00000001).
Value
A list item containing 'wts' (a vector of weights for the resulting
optimal ERC portfolio), 'mctr' (the marginal contributions to risk for each
asset class for the ERC portfolio), 'pctr' (the percent contributions to risk
for each asset class in the ERC portfolio), 'lambda' (optimal lambda).
jspinney-nbimc/mqim6604 documentation built on May 25, 2019, 6:25 p.m.
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Description Usage Arguments Value
Description
Finds the risk parity portfolio for a given covariance matrix (defined as an equal risk contribution portfolio where pctr_i = pctr_j for all i, j). Uses "Algorithm 1" of Chaves et al (2012) "Efficient Algorithms for Computing Risk Parity Portfolio Weights".
Usage
1 | SolveRiskParity(sigma, err_tol = 1e-08)
|
Arguments
sigma |
A variance-covariance matrix for assets in the investment universe. |
err_tol |
Optional parameter. Tolerance for exiting while loop (may experience convergence issues with large problems - if results do not produce expected pctr_i = pctr_j forall i, j then test smaller error err_tol (default = 0.00000001). |
Value
A list item containing 'wts' (a vector of weights for the resulting optimal ERC portfolio), 'mctr' (the marginal contributions to risk for each asset class for the ERC portfolio), 'pctr' (the percent contributions to risk for each asset class in the ERC portfolio), 'lambda' (optimal lambda).
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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