Fast and scalable design of risk parity portfolios

riskParityPortfolio is a software tool focused on the design of risk parity portfolios using fast, accurate, state-of-the-art optimization methods.

Get started now View it on GitHub


Getting started

Dependencies

The R version of riskParityPortfolio is build on top of awesome R packages including Rcpp, RcppEigen, quadprog, alabama, and nloptr. All these packages can be installed via CRAN.

The Python version depends on numpy.

Installation

  1. The stable R version can be installed via CRAN as
    install.packages("riskParityPortfolio")
    
  2. The development R version can be installed via GitHub as
    devtools::install_github("dppalomar/riskParityPortfolio")
    

    You must have previously installed the devtools package.

  3. The stable Python version can be installed via pip as
    $ pip install riskparityportfolio
    
  4. The development Python version can be installed via GitHub as
    $ git clone https://github.com/dppalomar/riskParityPortfolio
    $ cd python
    $ pip install -e .
    

Tutorials

  • See the package vignette for a detailed description of the mathematical methods that are available in riskParityPortfolio.

About the project

riskParityPortfolio is developed on GitHub by Ze Vinicius and Daniel Palomar.

License

riskParityPortfolio is distributed by an GPL 3.0 License.

Contributing

We welcome all sorts of contributions. Please feel free to open an issue to report a bug or discuss a feature request in our GitHub repo.

Citation

If this package has been useful to you in any way, give us a star on GitHub :) Additionally, if you’ve used riskParityPortfolio on your research, please consider citing the following resources: