RiskPortfolios

swMATH29161CRANRiskPortfoliosMaRDI QIDQ40875

Computation of Risk-Based Portfolios

Jean-philippe Gagnon-fleury, Kris Boudt, David Ardia

Last update: 16 May 2021

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 2.1.7

Source code repository: https://github.com/cran/RiskPortfolios

Cites work

• The impact of covariance misspecification in risk-based portfolios
• RiskPortfolios: Computation of Risk-Based Portfolios in R

Described by source

• The impact of covariance misspecification in risk-based portfolios

Related Items (8)

MEWMA charts when parameters are estimated with applications in gene expression and bimetal thermostat monitoring ⋮ A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks ⋮ Disentangling the role of variance and covariance information in portfolio selection problems ⋮ Minimum Rényi entropy portfolios ⋮ AssetAllocation ⋮ HierPortfolios ⋮ Multi-period portfolio selection with drawdown control

This page was built for software: RiskPortfolios