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Documentation
=============

``riskParityPortfolio`` is an `R` package for designing portfolios
that meet the risk parity criteria. It provides the implementation of the following
algorithms:
1) a Newton method for simple design of risk parity portfolios proposed by
`Spinu (2013) <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2297383>`_,
2) a variant of the cyclical coordinate descent algorithm for high dimensional portfolios proposed by
`Griveau-Billion (2013) <https://arxiv.org/pdf/1311.4057.pdf>`_ and applied to the risk parity formulation
presented in `Spinu (2013) <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2297383>`_,
3) general purpose non-linear constrained optimization solvers such as ``alabama`` and ``slsqp``, and
4) the successive convex approximation (SCA) proposed by
`Feng & Palomar (2016) <http://www.ece.ust.hk/~palomar/Publications_files/2015/FengPalomar-TSP2015%20-%20risk_parity_portfolio.pdf>`_.
The package `riskParityPortfolio` provides tools to design risk-parity portfolios.
In its simplest form, we consider the convex formulation with a unique solution
proposed by `Spinu (2013) <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2297383>`_
and use a cyclical method inspired by `Griveau-Billion (2013) <https://arxiv.org/pdf/1311.4057.pdf>`_.
For more general formulations, which are usually nonconvex, we implement the successive convex
approximation method proposed by `Feng & Palomar (2016) <http://www.ece.ust.hk/~palomar/Publications_files/2015/FengPalomar-TSP2015%20-%20risk_parity_portfolio.pdf>`_.

Please, see the `Getting started <_static/getting_started.html>`_
tutorial for an introduction to risk parity portfolio design in R.

Installation
------------

The *stable* version can be installed from CRAN as follows:

.. highlight:: r

::

> install.packages("riskParityPortfolio")


The *development* version can be installed from GitHub as follows:

.. highlight:: r
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Bug Reports
-----------

If you found a bug, please consider opening an issue ticket at our GitHub `repo <https://github.com/dppalomar/riskParityPortfolio/issues>`_.
If you found a bug, please consider opening an issue ticket at our GitHub
`repo <https://github.com/dppalomar/riskParityPortfolio/issues>`_.

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