| RiskParity {FinCovRegularization} | R Documentation |
Risk Parity Portfolio
Description
Computing a Risk Parity portfolio weights from the estimated covariance matrix of return series.
Usage
RiskParity(cov.mat)
Arguments
cov.mat |
an estimated p*p covariance matrix |
Value
a numerical vector containing the estimated portfolio weights
Examples
data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
RiskParity(cov(assets))
[Package FinCovRegularization version 1.1.0 Index]