Functions for the construction of risk-based portfolios
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README.md

title date tags authors
RiskPortfolios: Computation of risk-based portfolios in R
28 August 2018
risk
portfolio
optimization
mean-variance
minimum variance
inverse-volatility
equal-risk-contribution
maximum diversification
risk-efficient
affiliation name orcid
Institute of Financial Analysis - University of Neuchâtel
David Ardia
0000-0003-2823-782X
affiliation name orcid
Solvay Business School - Vrije Universiteit Brussel
Kris Boudt
affiliation name orcid
PSP Investments
Jean-Philippe Gagnon-Fleury

status CRAN Downloads Downloads Pending Pull-Requests Github Issues

Summary

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.

Installation

To install the latest stable version of RiskPortfolios, run the following commands in R:

R> install.packages("RiskPortfolios")

To install the development version of RiskPortfolios, run the following commands in R:

R> install.packages("devtools")

R> devtools::install_github("ArdiaD/RiskPortfolios")

Then check the help of the various files and run the examples:

R> library("RiskPortfolios")

R> ?RiskPortfolios

Please cite RiskPortfolios in publications:

R> citation("RiskPortfolios")

References

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