Hi everyone,
I'm pleased to announce the first release of the package
*riskParityPortfolio* on GitHub (soon to be submitted to CRAN):
https://github.com/dppalomar/riskParityPortfolio.
We implement several algorithms for the design of risk parity portfolios,
namely:
- the Newton method proposed by Spinu (2013)
- the successive convex approximation proposed by Feng (2015)
- wrapper around well-known general solvers to the R community such as
alabama
For more detailed information, please visit the package's webpage at:
http://mirca.github.io/riskParityPortfolio
F. Spinu, ?An algorithm for computing risk parity weights,? *SSRN*, 2013.
Y. Feng and D. P. Palomar, ?SCRIP: Successive convex optimization methods
for risk parity portfolios design,? *IEEE Trans. Signal Process.*, vol. 63,
no. 19, pp. 5285?5300, Oct. 2015.
Feedback and bug reports are more than welcome. Feel free to open a ticket
at https://github.com/dppalomar/riskParityPortfolio/issues.
Thank you,
Z? Vin?cius