https://github.com/ArdiaD/RiskPortfolios

Functions for the construction of risk-based portfolios
https://github.com/ArdiaD/RiskPortfolios

covariance optimization portfolio portfolio-optimization risk

Last synced: about 1 month ago
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Functions for the construction of risk-based portfolios

• Host: GitHub
• URL: https://github.com/ArdiaD/RiskPortfolios
• Owner: ArdiaD
• License: gpl-2.0
• Created: 2016-05-27T12:52:33.000Z (over 8 years ago)
• Default Branch: master
• Last Pushed: 2021-05-16T15:40:32.000Z (over 3 years ago)
• Last Synced: 2024-11-26T10:50:28.456Z (about 2 months ago)
• Topics: covariance, optimization, portfolio, portfolio-optimization, risk
• Language: R
• Size: 1.16 MB
• Stars: 51
• Watchers: 6
• Forks: 18
• Open Issues: 7
• Metadata Files:
  • Readme: README.md
  • Contributing: CONTRIBUTING.md
  • License: COPYING

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• jimsghstars - ArdiaD/RiskPortfolios - Functions for the construction of risk-based portfolios (R)

README

        
# RiskPortfolios

`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 

and quantitative analysts. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted, 

equal-risk-contribution, maximum diversification, and risk-efficient portfolios. As risk-based portfolios are

mainly 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.

## Please cite the package in publications!

By using `RiskPortfolios` you agree to the following rules: 

1) You must cite [Ardia et al. (2017a)](https://doi.org/10.21105/joss.00171) in working papers and published papers that use `RiskPortfolios`.

2) 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). 

3) You assume all risk for the use of `RiskPortfolios`.

Ardia, D., Boudt, K., Gagnon-Fleury, J.-P. (2017a).      

RiskPortfolios: Computation of risk-based portfolios in R.        

_Journal of Open Source Software_, 10(2), 1.    

[https://doi.org/10.21105/joss.00171](https://doi.org/10.21105/joss.00171)  

Ardia, D., Bolliger, G., Boudt, K., Gagnon-Fleury, J.-P. (2017b).      

The impact of covariance misspecification in risk-based portfolios.  

_Annals of Operations Research_, 254(1-2), 1-16.      

[https://doi.org/10.1007/s10479-017-2474-7](https://doi.org/10.1007/s10479-017-2474-7)       

[https://doi.org/10.2139/ssrn.2650644](https://doi.org/10.2139/ssrn.2650644)