RiskPortfolios: Computation of Risk-based Portfolios in R
Journal of Open Source Software, Vol 10, No. 2, 2017
Posted: 4 Feb 2017 Last revised: 6 Feb 2017
Date Written: February 3, 2017
RiskPortfolios is an R package for constructing risk-based portfolios. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted (Leote De Carvalho, Lu, and Moulin (2012)), equal-risk-contribution (Maillard, Roncalli, and Teïletche (2010)), maximum diversification (Choueifaty and Coignard (2008)), and risk-efficient (Amenc et al. (2011)) portfolios. Optimization is achieved with the R packages quadprog (Weingessel (2013)) and nloptr (Ypma (2014)). Long or gross constraints can be added to the optimizer. As risk-based portfolios are mainly based on covariances, the package also provides a large set of covariance matrix estimators.
Keywords: Risk-based portfolios, optimization, R software
JEL Classification: C13, C15, C22, C53
Suggested Citation: Suggested Citation