RiskPortfolios

Computation of risk-based portfolios in R

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RiskPortfolios (Ardia et al., 2017) 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. (2017) for details. A Monte Carlo study relying on RiskPortfolios is presented in Ardia et al. (2016).

The latest stable version of RiskPortfolios is available at https://cran.r-project.org/package=RiskPortfolios.

The latest development version of RiskPortfolios is available at https://github.com/ArdiaD/RiskPortfolios.

Please cite RiskPortfolios in publications:

Ardia, D., Bolliger, G., Boudt, K., Gagnon-Fleury, J.-P. (2016).
The impact of covariance misspecification in risk-based portfolios.
Working paper.
http://dx.doi.org/10.2139/ssrn.2650644

Ardia, D., Boudt, K., Gagnon-Fleury, J.-P. (2017).
RiskPortfolios: Computation of risk-based portfolios in R.
Journal of Open Source Software 10(2).
http://dx.doi.org/10.21105/joss.00171