Computation of risk-based portfolios in R

RiskPortfolios (Ardia et al., 2017) is an R package for constructing risk-based portfolios dedicated to portfolio managers and quantitative analysts. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted, equal-risk-contribution, maximum diversification, and risk-efficient portfolios. As risk-based portfolios are mainly based on covariances, the package also provides a large set of covariance matrix estimators. See Ardia et al. (2017) for details. A Monte Carlo study relying on RiskPortfolios is presented in Ardia et al. (2017).

The latest stable version of RiskPortfolios is available at https://cran.r-project.org/package=RiskPortfolios.

The latest development version of RiskPortfolios is available at https://github.com/ArdiaD/RiskPortfolios.

Please cite RiskPortfolios in publications:

Ardia, D., Bolliger, G., Boudt, K., Gagnon-Fleury, J.-P. (2017).
The impact of covariance misspecification in risk-based portfolios.
Annals of Operations Research 254(1–2), pp 1-16.

Ardia, D., Boudt, K., Gagnon-Fleury, J.-P. (2017).
RiskPortfolios: Computation of risk-based portfolios in R.
Journal of Open Source Software 10(2).