{"id":21872189,"url":"https://github.com/ardiad/riskportfolios","last_synced_at":"2025-10-26T15:50:55.673Z","repository":{"id":46887625,"uuid":"59834176","full_name":"ArdiaD/RiskPortfolios","owner":"ArdiaD","description":"Functions for the construction of risk-based portfolios","archived":false,"fork":false,"pushed_at":"2021-05-16T15:40:32.000Z","size":1219,"stargazers_count":51,"open_issues_count":7,"forks_count":18,"subscribers_count":6,"default_branch":"master","last_synced_at":"2024-12-11T12:51:33.518Z","etag":null,"topics":["covariance","optimization","portfolio","portfolio-optimization","risk"],"latest_commit_sha":null,"homepage":null,"language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"gpl-2.0","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/ArdiaD.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":"CONTRIBUTING.md","funding":null,"license":"COPYING","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null}},"created_at":"2016-05-27T12:52:33.000Z","updated_at":"2024-09-17T22:50:05.000Z","dependencies_parsed_at":"2022-09-22T14:25:59.695Z","dependency_job_id":null,"html_url":"https://github.com/ArdiaD/RiskPortfolios","commit_stats":null,"previous_names":[],"tags_count":1,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FRiskPortfolios","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FRiskPortfolios/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FRiskPortfolios/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/ArdiaD%2FRiskPortfolios/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/ArdiaD","download_url":"https://codeload.github.com/ArdiaD/RiskPortfolios/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":230454427,"owners_count":18228392,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["covariance","optimization","portfolio","portfolio-optimization","risk"],"created_at":"2024-11-28T06:19:29.472Z","updated_at":"2025-10-26T15:50:55.545Z","avatar_url":"https://github.com/ArdiaD.png","language":"R","funding_links":[],"categories":[],"sub_categories":[],"readme":"# RiskPortfolios\n\n`RiskPortfolios` ([Ardia et al., 2017a](https://doi.org/10.21105/joss.00171)) is an R package for constructing risk-based portfolios dedicated to portfolio managers \nand quantitative analysts. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted, \nequal-risk-contribution, maximum diversification, and risk-efficient portfolios. As risk-based portfolios are\nmainly based on covariances, the package also provides a large set of covariance matrix estimators. See [Ardia et al. (2017b)](https://doi.org/10.1007/s10479-017-2474-7) for details.\n\n## Please cite the package in publications!\n\nBy using `RiskPortfolios` you agree to the following rules: \n\n1) You must cite [Ardia et al. (2017a)](https://doi.org/10.21105/joss.00171) in working papers and published papers that use `RiskPortfolios`.\n2) You must place the following URL in a footnote to help others find `RiskPortfolios`: [https://CRAN.R-project.org/package=RiskPortfolios](https://CRAN.R-project.org/package=RiskPortfolios). \n3) You assume all risk for the use of `RiskPortfolios`.\n\nArdia, D., Boudt, K., Gagnon-Fleury, J.-P. (2017a).      \nRiskPortfolios: Computation of risk-based portfolios in R.        \n_Journal of Open Source Software_, 10(2), 1.    \n[https://doi.org/10.21105/joss.00171](https://doi.org/10.21105/joss.00171)  \n\nArdia, D., Bolliger, G., Boudt, K., Gagnon-Fleury, J.-P. (2017b).      \nThe impact of covariance misspecification in risk-based portfolios.  \n_Annals of Operations Research_, 254(1-2), 1-16.      \n[https://doi.org/10.1007/s10479-017-2474-7](https://doi.org/10.1007/s10479-017-2474-7)       \n[https://doi.org/10.2139/ssrn.2650644](https://doi.org/10.2139/ssrn.2650644)","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fardiad%2Friskportfolios","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fardiad%2Friskportfolios","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fardiad%2Friskportfolios/lists"}