Théophile Griveau-Billion

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

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A Fast Algorithm for Computing High-Dimensional Risk Parity Portfolios

Number of pages: 9 Posted: 15 Sep 2013 Last Revised: 01 Oct 2013
Théophile Griveau-Billion, Jean-Charles Richard and Thierry Roncalli
Imperial College London, Eisler Capital and Amundi Asset Management
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Citation 10

Abstract:

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Risk parity, risk budgeting, ERC portfolio, cyclical coordinate descent algorithm, SQP algorithm, Jacobi algorithm, Newton algorithm, Nesterov algorithm