riskParityPortfolio: Design of Risk Parity Portfolios

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. The package is based on the papers: 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. <doi:10.1109/TSP.2015.2452219>. F. Spinu (2013), An Algorithm for Computing Risk Parity Weights. <doi:10.2139/ssrn.2297383>. T. Griveau-Billion, J. Richard, and T. Roncalli (2013). A fast algorithm for computing High-dimensional risk parity portfolios. <arXiv:1311.4057>.

Version: 0.2.1
Imports: alabama, Matrix, nloptr, quadprog, Rcpp
LinkingTo: Rcpp, RcppEigen
Suggests: knitr, ggplot2, numDeriv, pagedown, portfolioBacktest, prettydoc, rmarkdown, R.rsp, testthat, viridisLite
Published: 2019-10-07
Author: Ze Vinicius [aut], Daniel P. Palomar [cre, aut]
Maintainer: Daniel P. Palomar <daniel.p.palomar at gmail.com>
BugReports: https://github.com/dppalomar/riskParityPortfolio/issues
License: GPL-3 | file LICENSE
URL: https://CRAN.R-project.org/package=riskParityPortfolio, https://github.com/dppalomar/riskParityPortfolio, https://www.danielppalomar.com, https://doi.org/10.1109/TSP.2015.2452219
NeedsCompilation: yes
Citation: riskParityPortfolio citation info
Materials: README NEWS
In views: Finance
CRAN checks: riskParityPortfolio results

Downloads:

Reference manual: riskParityPortfolio.pdf
Vignettes: Design of Risk Parity Portfolios
Slides RPP - Convex Optimization Course (HKUST)
Slides R/Finance 2019
Package source: riskParityPortfolio_0.2.1.tar.gz
Windows binaries: r-devel: riskParityPortfolio_0.2.1.zip, r-devel-gcc8: riskParityPortfolio_0.2.1.zip, r-release: riskParityPortfolio_0.2.1.zip, r-oldrel: riskParityPortfolio_0.2.1.zip
OS X binaries: r-release: riskParityPortfolio_0.2.1.tgz, r-oldrel: riskParityPortfolio_0.2.1.tgz
Old sources: riskParityPortfolio archive

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