{ "_id": "6a103855acfb0bcc41c9aa50", "Package": "riskParityPortfolio", "Title": "Design of Risk Parity Portfolios", "Version": "0.2.2.9000", "Date": "2021-05-31", "Description": "Fast design of risk parity portfolios for financial\ninvestment. The goal of the risk parity portfolio formulation\nis to equalize or distribute the risk contributions of the\ndifferent assets, which is missing if we simply consider the\noverall volatility of the portfolio as in the mean-variance\nMarkowitz portfolio. In addition to the vanilla formulation,\nwhere the risk contributions are perfectly equalized subject to\nno shortselling and budget constraints, many other formulations\nare considered that allow for box constraints and shortselling,\nas well as the inclusion of additional objectives like the\nexpected return and overall variance. See vignette for a\ndetailed documentation and comparison, with several\nillustrative examples. The package is based on the papers: Y.\nFeng, and D. P. Palomar (2015). SCRIP: Successive Convex\nOptimization Methods for Risk Parity Portfolio Design. IEEE\nTrans. on Signal Processing, vol. 63, no. 19, pp. 5285-5300.\n. F. Spinu (2013), An Algorithm\nfor Computing Risk Parity Weights. .\nT. Griveau-Billion, J. Richard, and T. Roncalli (2013). A fast\nalgorithm for computing High-dimensional risk parity\nportfolios. .", "Authors@R": "c(\nperson(\"Ze\", \"Vinicius\", role = \"aut\", email = \"jvmirca@gmail.com\"),\nperson(c(\"Daniel\", \"P.\"), \"Palomar\", role = c(\"cre\", \"aut\"), email = \"daniel.p.palomar@gmail.com\")\n)", "Maintainer": "Daniel P. Palomar ", "URL": "https://CRAN.R-project.org/package=riskParityPortfolio,\nhttps://github.com/dppalomar/riskParityPortfolio,\nhttps://www.danielppalomar.com,\nhttps://doi.org/10.1109/TSP.2015.2452219", "BugReports": "https://github.com/dppalomar/riskParityPortfolio/issues", "License": "GPL-3", "Encoding": "UTF-8", "RoxygenNote": "7.2.1", "VignetteBuilder": "knitr, rmarkdown, R.rsp", "Config/pak/sysreqs": "cmake", "Repository": "https://dppalomar.r-universe.dev", "Date/Publication": "2022-11-15 08:52:00 UTC", "RemoteUrl": "https://github.com/dppalomar/riskparityportfolio", "RemoteRef": "HEAD", "RemoteSha": "7d8852c8852d7bf79dcce1c026c5c6d637bf8113", "NeedsCompilation": "yes", "Packaged": { "Date": "2026-05-12 06:02:51 UTC", "User": "root" }, "Author": "Ze Vinicius [aut],\nDaniel P. 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