rp | R Documentation |
This function determines a risk-parity solution of a long-only portfolio with a budget-constraint.
rp(x0, P, mrc, optctrl = ctrl())
x0 |
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P |
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mrc |
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optctrl |
An object of S4-class |
An object of S4-class Rcpp_CPS
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Spinu, F. (2013), An Algorithm for Computing Risk Parity Weights, SSRN, OMERS Capital Markets, July 2013.
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