Other packages > Find by keyword >

riskParityPortfolio  

Design of Risk Parity Portfolios
View on CRAN: Click here


Download and install riskParityPortfolio package within the R console
Install from CRAN:
install.packages("riskParityPortfolio")

Install from Github:
library("remotes")
install_github("cran/riskParityPortfolio")

Install by package version:
library("remotes")
install_version("riskParityPortfolio", "0.2.2")



Attach the package and use:
library("riskParityPortfolio")
Maintained by
Daniel P. Palomar
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-12-25
Latest Update: 2021-06-01
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. . F. Spinu (2013), An Algorithm for Computing Risk Parity Weights. . T. Griveau-Billion, J. Richard, and T. Roncalli (2013). A fast algorithm for computing High-dimensional risk parity portfolios. .
How to cite:
Daniel P. Palomar (2018). riskParityPortfolio: Design of Risk Parity Portfolios. R package version 0.2.2, https://cran.r-project.org/web/packages/riskParityPortfolio. Accessed 25 Jun. 2026.
Previous versions and publish date:
0.1.0 (2018-12-25 23:20), 0.1.1 (2019-01-08 09:20), 0.1.2 (2019-06-01 06:30), 0.2.0 (2019-08-31 21:20), 0.2.1 (2019-10-07 10:10)
Other packages that cited riskParityPortfolio R package
View riskParityPortfolio citation profile
Other R packages that riskParityPortfolio depends, imports, suggests or enhances
Complete documentation for riskParityPortfolio
Functions, R codes and Examples using the riskParityPortfolio R package
Some associated functions: barplotPortfolioRisk . riskParityPortfolio-package . riskParityPortfolio . 
Some associated R codes: RcppExports.R . genSolver.R . plotting.R . riskFormulations.R . riskParityPortfolio-package.R . riskParityPortfolio.R . rppWithConstraints.R .  Full riskParityPortfolio package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
airGRiwrm  
'airGR' Integrated Water Resource Management
Semi-distributed Precipitation-Runoff Modelling based on 'airGR' package models integrating human i ...
Download / Learn more Package Citations See dependency  
edeaR  
Exploratory and Descriptive Event-Based Data Analysis
Exploratory and descriptive analysis of event based data. Provides methods for describing and select ...
Download / Learn more Package Citations See dependency  
foster  
Forest Structure Extrapolation with R
Set of tools to streamline the modeling of the relationship betweensatellite imagery time series or ...
Download / Learn more Package Citations See dependency  
sitmo  
Parallel Pseudo Random Number Generator (PPRNG) 'sitmo' Header Files
Provided within are two high quality and fast PPRNGs that may be used in an 'OpenMP' parallel enviro ...
Download / Learn more Package Citations See dependency  

27,535

R Packages

236,180

Dependencies

73,223

Author Associations

27,536

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA