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Description

Computation of Risk-Based Portfolios.

Collection of functions designed to compute risk-based portfolios as described in Ardia et al. (2017) <doi:10.1007/s10479-017-2474-7> and Ardia et al. (2017) <doi:10.21105/joss.00171>.

RiskPortfolios

RiskPortfolios (Ardia et al., 2017a) 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) 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) 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.
  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

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/10.2139/ssrn.2650644

Metadata

Version

2.1.7

License

Unknown

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