In Defence of Cyclical Coordinate Descent for Computing Risk Parity Portfolios

5 Pages Posted: 25 Jan 2021

Date Written: January 8, 2021

Abstract

In this note, we review the conclusions of a paper comparing a cyclical coordinate descent (CCD) algorithm with other algorithms for solving risk parity portfolio optimization problems. In particular, we show that a proper numerical implementation of the CCD algorithm is fast, robust and convergent, confirming that the CCD algorithm is one of the most efficient algorithms to solve risk parity portfolio optimization problems.

Keywords: Risk Parity, Risk Budgeting, Portfolio Optimization, Cyclical Coordinate Descent Algorithm

JEL Classification: G11, C60

Suggested Citation

Rubsamen, Roman, In Defence of Cyclical Coordinate Descent for Computing Risk Parity Portfolios (January 8, 2021). Available at SSRN: https://ssrn.com/abstract=3762755 or http://dx.doi.org/10.2139/ssrn.3762755

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
14
Abstract Views
97
PlumX Metrics