Collection of functions designed to compute risk-based portfolios as described
in 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
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