riskParityPortfolio

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Design of Risk Parity Portfolios

Ze Vinicius, Daniel P. Palomar

Last update: 1 June 2021

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.2.2

Cites work

• SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design
• An Algorithm for Computing Risk Parity Weights
• A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios

Cited In (2)

• ConnectednessApproach
• AssetAllocation

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