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RiskPortfolios: Computation of risk-based portfolios in R
Auteur(s)
Date de parution
2017-2
In
Journal of Open Source Software
Vol.
2
No
10
De la page
1
A la page
1
Revu par les pairs
1
Résumé
RiskPortfolios is an R package for constructing risk-based portfolios. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted (Leote De Carvalho, Lu, and Moulin (2012)), equal-risk-contribution (Maillard, Roncalli, and Teïletche (2010)), maximum diversification (Choueifaty and Coignard (2008)), and risk-efficient (Amenc et al. (2011)) portfolios. Optimization is achieved with the R packages quadprog (Weingessel (2013)) and nloptr (Ypma (2014)). Long or gross constraints can be added to the optimizer. As risk-based portfolios are mainly based on covariances, the package also provides a large set of covariance matrix estimators.
Identifiants
Type de publication
journal article
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