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Published 20 hours ago • verified publisher icon souzatharsis

RiskParity.R issues with Risk contribution

Open aaaaarrrgghhh opened this issue 5 years ago • 1 comments

line 33 portfolio.risks <- rbind(portfolio.parity$risk_contribution/sum(portfolio.parity$risk_contribution), getCovRiskBudgets(portfolio.tangency))

2 issues:

  1. parity portfolio is "parity" - why take weights?
  2. the column name is relative_risk_contribution

so the line should really be just portfolio.risks <- rbind(portfolio.parity$relative_risk_contribution, getCovRiskBudgets(portfolio.tangency))

aaaaarrrgghhh avatar Oct 05 '19 08:10 aaaaarrrgghhh

I just download .zip in the master branch (latest), the issue is still there, but there's more :

In the gitbook build version leaving this is fine, but changing it will cause error, but in the pdf version it needed to be changed in order to compile the book (epub is the same as pdf)

New1997 avatar Mar 15 '21 12:03 New1997