riskParityPortfolio
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dppalomar
Design of Risk Parity Portfolios
#### Problem description The function max_sharpe_ration in the vignette has a small error. The constraint $\w^T \mu = 1$ should be $\w^T (\mu - r_f) = 1$ i.e. one needs...
As per @dppalomar overhaul: > In the help of our rpp function, it says that it will return: > > risk_concentration > > However, if the basic algorithm is used,...
Implement a risk parity portfolio to equalize the risk factors. Basic reference is: T. Roncalli and G. Weisang, “Risk parity portfolios with risk factors,” SSRN 2155159, 2012.
Through Docker, users can conveniently run ``riskParityPortfolio`` directly on their favorite browsers. But currently there is no documentation on our side on how to initialize the Docker container, though. We...
For that to be accomplished the user has to provide: - a function ``f`` which takes the portfolio weights (and possibly additional parameters) as input - gradient of ``f`` -...
python 3.11.1 jupyterlab 3.5.3 windows 10 ```r error: subprocess-exited-with-error python setup.py egg_info did not run successfully. exit code: 1 [67 lines of output] C:\Users\ivan\AppData\Local\Programs\Python\Python311\Lib\site-packages\setuptools\installer.py:27: SetuptoolsDeprecationWarning: setuptools.installer is deprecated. Requirements should...
