rp {cccp}

Risk-parity optimization

Description

This function determines a risk-parity solution of a long-only portfolio with a budget-constraint.

Usage

rp(x0, P, mrc, optctrl = ctrl())

Arguments

x0

matrix of dimension n \times 1; starting values.

P

matrix of dimension n \times n; dispersion matrix.

mrc

matrix of dimension n \times 1; the marginal risk contributions.

optctrl

An object of S4-class Rcpp_CTRL.

Value

An object of S4-class Rcpp_CPS.

References

Spinu, F. (2013), An Algorithm for Computing Risk Parity Weights, SSRN, OMERS Capital Markets, July 2013.