RiskPortfolios

MaRDI QIDQ40875swMATHCRANFDO

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

Last update 16 May 2021

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

Software version identifier 2.1.7

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

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

Cites work

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

Described by source

• The impact of covariance misspecification in risk-based portfolios

Cited in

(10)

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

This page was built for software: RiskPortfolios