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

The latest development version of RiskPortfolios is available at

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.

Ardia, D., Boudt, K., Gagnon-Fleury, J.-P. (2017).
RiskPortfolios: Computation of risk-based portfolios in R.
Journal of Open Source Software 10(2).


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

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


2.1.7 by David Ardia, 8 months ago

Report a bug at

Browse source code at

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

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

Imports MASS, quadprog, nloptr

Suggests testthat

Imported by HierPortfolios.

See at CRAN