| Name : R-riskParityPortfolio
| |
| Version : 0.2.2
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : 10.6
| Date : 2024-10-11 22:26:44
|
| Group : Development/Libraries/Other
| Source RPM : R-riskParityPortfolio-0.2.2-10.6.src.rpm
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| Size : 1.71 MB
| |
| Packager : (none)
| |
| Summary : Design of Risk Parity Portfolios
|
Description :
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>.
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RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/x86_64 |
