RiskPortfolios: Computation of Risk-Based Portfolios in R

R Submitted 10 January 2017Published 03 February 2017
Review

Editor: @arfon (all papers)
Reviewers: @braverock (all reviews)

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

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Tags

risk portfolio optimization mean-variance minimum variance inverse-volatility equal-risk-contribution maximum diversification risk-efficient

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ISSN 2475-9066