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RiskPortfolios: Computation of risk-based portfolios in R

David Ardia, Kris Boudt & Philippe Gagnon-Fleury

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.
   
Mots-clés Risk-based portfolios, optimization, R software
   
Citation Ardia, D., Boudt, K., & Gagnon-Fleury, P. (2017). RiskPortfolios: Computation of risk-based portfolios in R. Journal of Open Source Software, 10(2), 1-1.
   
Type Article de périodique (Anglais)
Date de publication 2-2017
Nom du périodique Journal of Open Source Software
Volume 10
Numéro 2
Pages 1-1
URL http://dx.doi.org/10.21105/joss.00171