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https://github.com/dppalomar/riskParityPortfolio

Design of Risk Parity Portfolios
https://github.com/dppalomar/riskParityPortfolio

optimization portfolio risk risk-parity

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Design of Risk Parity Portfolios

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README 

        
---

output:

  html_document:

    variant: markdown_github

    keep_md: true

  md_document:

    variant: markdown_github

---



```{r, echo = FALSE}

library(knitr)

opts_chunk$set(

  collapse = TRUE,

  comment = "#>",

  fig.path = "man/figures/README-",

  fig.align = "center",

  fig.retina = 2,

  out.width = "75%",

  dpi = 96

)

knit_hooks$set(pngquant = hook_pngquant)

```



# riskParityPortfolio



[![codecov](https://codecov.io/gh/mirca/riskParityPortfolio/branch/master/graph/badge.svg?token=NhOMM6MOAv)](https://codecov.io/gh/mirca/riskParityPortfolio)

[![CRAN_Status_Badge](https://www.r-pkg.org/badges/version/riskParityPortfolio)](https://CRAN.R-project.org/package=riskParityPortfolio)

[![CRAN Downloads](https://cranlogs.r-pkg.org/badges/riskParityPortfolio)](https://CRAN.R-project.org/package=riskParityPortfolio)

[![CRAN Downloads Total](https://cranlogs.r-pkg.org/badges/grand-total/riskParityPortfolio?color=brightgreen)](https://CRAN.R-project.org/package=riskParityPortfolio)

[![Rcpp](https://img.shields.io/badge/powered%20by-Rcpp-orange.svg?style=flat)](http://www.rcpp.org/)



**riskParityPortfolio** provides tools to design risk parity portfolios.

In its simplest form, we consider the convex formulation with a unique solution proposed by

[Spinu (2013)](https://dx.doi.org/10.2139/ssrn.2297383) and use a cyclical method inspired by

[Griveau-Billion (2013)](https://arxiv.org/pdf/1311.4057.pdf). For more general formulations,

which are usually nonconvex, we implement the successive convex approximation

method proposed by [Feng & Palomar (2015)](https://doi.org/10.1109/TSP.2015.2452219).



The latest stable version of **riskParityPortfolio** is available at https://CRAN.R-project.org/package=riskParityPortfolio.



The latest development version of **riskParityPortfolio** is available at https://github.com/dppalomar/riskParityPortfolio.



**Check out the documentation here: [https://mirca.github.io/riskParityPortfolio](https://mirca.github.io/riskParityPortfolio/).**



## Installation

To install the latest stable version of **riskParityPortfolio** from CRAN, run the following commands in R:

```{r, eval = FALSE}

> install.packages("riskParityPortfolio")

```



To install the development version of **riskParityPortfolio** from GitHub, run the following commands in R:

```{r, eval = FALSE}

> install.packages("devtools")

> devtools::install_github("dppalomar/riskParityPortfolio")

```



To get help:

```{r, eval = FALSE}

> library(riskParityPortfolio)

> help(package = "riskParityPortfolio")

> package?riskParityPortfolio

> ?riskParityPortfolio

```



Please cite **riskParityPortfolio** in publications:

```{r, eval = FALSE}

> citation("riskParityPortfolio")

```



You can also get **riskParityPortfolio** from Docker as follows:

```

$ docker pull mirca/riskparityportfolio

```



#### Microsoft Windows

On MS Windows environments, make sure to install the most recent version of

**Rtools**.



### Python



A Python3 implementation of this package is currently under development at [https://github.com/dppalomar/riskparity.py](https://github.com/dppalomar/riskparity.py).

Its stable version is available in PYPI and can be installed as follows:

```

$ pip install riskparityportfolio

```



Alternatively, the development version can be installed as

```

$ git clone https://github.com/dppalomar/riskparity.py

$ cd riskparity.py

$ pip install -e .

```



### Rust



A Rust version is avaiable at: [https://github.com/mirca/riskparity.rs](https://github.com/mirca/riskparity.rs).



## Basic usage



```{r}

library(riskParityPortfolio)



set.seed(42)

# create covariance matrix

N <- 5

V <- matrix(rnorm(N^2), ncol = N)

Sigma <- cov(V)



# risk parity portfolio

res <- riskParityPortfolio(Sigma)

names(res)

res$w



# risk budgeting portfolio

res <- riskParityPortfolio(Sigma, b = c(0.4, 0.4, 0.1, 0.05, 0.05))

res$relative_risk_contribution

```



## Documentation

For more detailed information, please check the

[vignette](https://CRAN.R-project.org/package=riskParityPortfolio/vignettes/RiskParityPortfolio.html).



## Citation

If you find this package useful in your research, please consider citing the following works:



- J. V. de M. Cardoso and D. P. Palomar (2019). riskParityPortfolio:

  Design of Risk Parity Portfolios. R package version 0.2.1.

  

- Y. Feng, and D. P. Palomar (2015). SCRIP: Successive Convex Optimization Methods for

  Risk Parity Portfolio Design. _IEEE Trans. on Signal Processing_, vol. 63, no. 19,

  pp. 5285-5300. 

- F. Spinu (2013). An Algorithm for Computing Risk Parity Weights.

  

- T. Griveau-Billion, J. Richard, and T. Roncalli (2013). A fast algorithm for computing High-dimensional risk parity portfolios. 



## Contributing

We welcome all sorts of contributions. Please feel free to open an issue

to report a bug or discuss a feature request.



## Links

Package: [CRAN](https://CRAN.R-project.org/package=riskParityPortfolio) and [GitHub](https://github.com/dppalomar/riskParityPortfolio).



README file: [GitHub-readme](https://github.com/dppalomar/riskParityPortfolio/blob/master/README.md).



Vignettes: [CRAN-vignette](https://CRAN.R-project.org/package=riskParityPortfolio/vignettes/RiskParityPortfolio.html),

[slides R/Finance 2019](https://docs.google.com/viewer?url=https://github.com/dppalomar/riskParityPortfolio/raw/master/vignettes/RFinance2019-slides.pdf),

[slides RPP - Convex Optimization Course (HKUST)](https://docs.google.com/viewer?url=https://github.com/dppalomar/riskParityPortfolio/raw/master/vignettes/slides-ConvexOptimizationCourseHKUST.pdf),

[slides HKML meetup 2020](https://speakerdeck.com/mirca/breaking-down-risk-parity-portfolios-a-practical-open-source-implementation), and

[tutorial - Data-driven Portfolio Optimization Course (HKUST)](https://www.youtube.com/watch?v=xb1Xxf5LQks)



## Disclaimer

The information, software, and any additional resources contained in this repository are not intended as,

and shall not be understood or construed as, financial advice.

Past performance is not a reliable indicator of future results and investors may not recover the full

amount invested.

The [authors](https://github.com/dppalomar/riskParityPortfolio/blob/master/AUTHORS.md) of this repository

accept no liability whatsoever for any loss or damage you may incur.  Any opinions expressed in this repository

are from the personal research and experience of the [authors](https://github.com/dppalomar/riskParityPortfolio/blob/master/AUTHORS.md) and are intended as educational material.