Computation of Risk-Based Portfolios

Collection of functions designed to compute risk-based portfolios as described in Ardia et al. (2017) and Ardia et al. (2017) .


Computation of risk-based portfolios in R

RiskPortfolios (Ardia et al., 2017) 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. (2017) for details. A Monte Carlo study relying on RiskPortfolios is presented in Ardia et al. (2017).

The latest stable version of RiskPortfolios is available at https://cran.r-project.org/package=RiskPortfolios.

The latest development version of RiskPortfolios is available at https://github.com/ArdiaD/RiskPortfolios.

Please cite RiskPortfolios in publications:

Ardia, D., Bolliger, G., Boudt, K., Gagnon-Fleury, J.-P. (2017).
The impact of covariance misspecification in risk-based portfolios.
Annals of Operations Research 254(1--2), pp 1-16.
http://dx.doi.org/10.1007/s10479-017-2474-7
http://dx.doi.org/10.2139/ssrn.2650644

Ardia, D., Boudt, K., Gagnon-Fleury, J.-P. (2017).
RiskPortfolios: Computation of risk-based portfolios in R.
Journal of Open Source Software 10(2).
http://dx.doi.org/10.21105/joss.00171

News

Changes in Version 2.1.2 (DA) o References updated

Changes in Version 2.1.2 (DA) o Gradient added o Max decorrelation portfolio added

Changes in Version 2.1.0 (DA) o CRAN release o documentation updated o THANKS file added

Changes in Version 2.00.11 (DA) o Documentation improved and finalized

Changes in Version 2.00.10 (DA) o LB and UB added properly o doc modified

Changes in Version 2.00.09 (DA) o dataset added o doc RiskPortfolios added

Changes in Version 2.00.08 (DA) o tests added o doc fixed o positivity fixed

Changes in Version 2.00.07 (DA) o Roxygen documentation o testthat added

Changes in Version 2.00.06 (DA) o update CITATION

Changes in Version 2.00.05 (DA) o update informations and references

Changes in Version 2.00.04 (DA) o serveral error fixes o new Imports instead of Depends

Changes in Version 2.00.03 (DA) o erc initialized at 1/sigma normlized

Changes in Version 2.00.02 (DA) o w0 starting value can now be passed in controls o references updated

Changes in Version 2.00.01 (DA) o Renaming of the package with emphasis of risk-based portfolios o Added inverse volatility portfolio

Changes in Version 1.02.02 (DA) o DESCRIPTION file adapted to new standard

Changes in Version 1.02.01 (DA) o major revision of the package

Changes in Version 1.01.02 (DA) o bug fixd thanks to Samo Pahor

Changes in Version 1.01.01 (DA) o package's name o package's version

Changes in Version 1-00.01 (DA) o first release

Reference manual

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install.packages("RiskPortfolios")

2.1.2 by David Ardia, a year ago


https://github.com/ArdiaD/RiskPortfolios


Report a bug at https://github.com/ArdiaD/RiskPortfolios/issues


Browse source code at https://github.com/cran/RiskPortfolios


Authors: David Ardia [aut, cre] , Kris Boudt [aut] , Jean-Philippe Gagnon-Fleury [aut]


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license


Imports MASS, quadprog, nloptr

Suggests testthat


See at CRAN