RiskPortfolios (Ardia et al., 2017a) 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. (2017b) for details.
By using RiskPortfolios you agree to the following rules:
- You must cite Ardia et al. (2017a) in working papers and published papers that use
RiskPortfolios. - You must place the following URL in a footnote to help others find
RiskPortfolios: https://CRAN.R-project.org/package=RiskPortfolios. - You assume all risk for the use of
RiskPortfolios.
Ardia, D., Boudt, K., Gagnon-Fleury, J.-P. (2017a).
RiskPortfolios: Computation of risk-based portfolios in R.
Journal of Open Source Software, 10(2), 1.
https://doi.org/10.21105/joss.00171
Ardia, D., Bolliger, G., Boudt, K., Gagnon-Fleury, J.-P. (2017b).
The impact of covariance misspecification in risk-based portfolios.
Annals of Operations Research, 254(1-2), 1-16.
https://doi.org/10.1007/s10479-017-2474-7
https://doi.org/10.2139/ssrn.2650644