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Published 20 hours ago • verified publisher icon dppalomar

Implement risk parity portfolio with risk factors

Open dppalomar opened this issue 5 years ago • 0 comments

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.

dppalomar avatar Jan 14 '19 07:01 dppalomar