rp function

Risk-parity optimization

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

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.

Returns

An object of S4-class Rcpp_CPS.

References

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