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 |