RiskPortfolios

MaRDI QIDQ40875swMATHCRANFDO

Authors David Ardia, Kris Boudt, Jean-philippe Gagnon-fleury, Jean-Philippe Gagnon-Fleury

Last update 21 August 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 2.1.7, PACKAGES.rds, 2.1.1, 2.1.2, 2.1.3, 2.1.4, 2.1.5, 2.1.8

Official website https://cran.r-project.org/web/packages/RiskPortfolios/index.html

Source code repository https://github.com/cran/RiskPortfolios

Description

Collection of functions designed to compute risk-based portfolios as described in Ardia et al. (2017) <doi:10.1007/s10479-017-2474-7> and Ardia et al. (2017) <doi:10.21105/joss.00171>.

Cites work

• RiskPortfolios: Computation of Risk-Based Portfolios in R
• The impact of covariance misspecification in risk-based portfolios

Described by source

• The impact of covariance misspecification in risk-based portfolios

Cited in

(10)

• AssetAllocation
• HierPortfolios
• corpor
• Minimum Rényi entropy portfolios
• Multi-period portfolio selection with drawdown control
• A test on the location of the tangency portfolio on the set of feasible portfolios
• Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
• MSQC
• Disentangling the role of variance and covariance information in portfolio selection problems
• MEWMA charts when parameters are estimated with applications in gene expression and bimetal thermostat monitoring

This page was built for software: RiskPortfolios