RiskPortfolios: Computation of Risk-Based Portfolios in R

R Submitted 10 January 2017Published 03 February 2017

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David Ardia (0000-0003-2823-782X), Kris Boudt, Jean-Philippe Gagnon-Fleury


Ardia et al, (2017), RiskPortfolios: Computation of Risk-Based Portfolios in R, Journal of Open Source Software, 2(10), 171, doi:10.21105/joss.00171

@article{Ardia2017, doi = {10.21105/joss.00171}, url = {https://doi.org/10.21105/joss.00171}, year = {2017}, publisher = {The Open Journal}, volume = {2}, number = {10}, pages = {171}, author = {David Ardia and Kris Boudt and Jean-Philippe Gagnon-Fleury}, title = {RiskPortfolios: Computation of Risk-Based Portfolios in R}, journal = {Journal of Open Source Software} }
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risk portfolio optimization mean-variance minimum variance inverse-volatility equal-risk-contribution maximum diversification risk-efficient

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