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Authors
David Ardia (0000-0003-2823-782X), Kris Boudt, Jean-Philippe Gagnon-Fleury
Citation
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}
}
Tags
risk portfolio optimization mean-variance minimum variance inverse-volatility equal-risk-contribution maximum diversification risk-efficient
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