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RiskParity.R issues with Risk contribution #3

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aaaaarrrgghhh opened this issue Oct 5, 2019 · 1 comment
Open

RiskParity.R issues with Risk contribution #3

aaaaarrrgghhh opened this issue Oct 5, 2019 · 1 comment
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@aaaaarrrgghhh
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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))

@souzatharsis souzatharsis self-assigned this Oct 6, 2019
@New1997
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New1997 commented Mar 15, 2021

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)

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