riskParityPortfolio
Design of Risk Parity Portfolios
v0.2.2
·
May 31, 2021
·
GPL-3
Description
Fast design of risk parity portfolios for financial investment. The goal of the risk parity portfolio formulation is to equalize or distribute the risk contributions of the different assets, which is missing if we simply consider the overall volatility of the portfolio as in the mean-variance Markowitz portfolio. In addition to the vanilla formulation, where the risk contributions are perfectly equalized subject to no shortselling and budget constraints, many other formulations are considered that allow for box constraints and shortselling, as well as the inclusion of additional objectives like the expected return and overall variance. See vignette for a detailed documentation and comparison, with several illustrative examples. The package is based on the papers: Y. Feng, and D. P. Palomar (2015). SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design. IEEE Trans. on Signal Processing, vol. 63, no. 19, pp. 5285-5300. <doi:10.1109/TSP.2015.2452219>. F. Spinu (2013), An Algorithm for Computing Risk Parity Weights. <doi:10.2139/ssrn.2297383>. T. Griveau-Billion, J. Richard, and T. Roncalli (2013). A fast algorithm for computing High-dimensional risk parity portfolios. <arXiv:1311.4057>.
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| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | NOTE |
| r-devel-linux-x86_64-fedora-gcc | NOTE |
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| r-devel-windows-x86_64 | NOTE |
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| r-release-windows-x86_64 | NOTE |
Check details (18 non-OK)
NOTE
r-devel-linux-x86_64-debian-clang
CRAN incoming feasibility
Maintainer: ‘Daniel P. Palomar <daniel.p.palomar@gmail.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead. The Description field contains parity portfolios. <arXiv:1311.4057>. Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
NOTE
r-devel-linux-x86_64-debian-clang
Rd files
checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
NOTE
r-devel-linux-x86_64-debian-gcc
CRAN incoming feasibility
Maintainer: ‘Daniel P. Palomar <daniel.p.palomar@gmail.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead. The Description field contains parity portfolios. <arXiv:1311.4057>. Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
NOTE
r-devel-linux-x86_64-debian-gcc
Rd files
checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-devel-linux-x86_64-fedora-clang
Rd files
checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-devel-linux-x86_64-fedora-gcc
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-devel-macos-arm64
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-devel-windows-x86_64
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-oldrel-macos-arm64
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-oldrel-macos-arm64
installed package size
installed size is 25.2Mb
sub-directories of 1Mb or more:
doc 1.4Mb
libs 23.7Mb
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r-oldrel-macos-x86_64
Rd files
checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-oldrel-macos-x86_64
installed package size
installed size is 25.4Mb
sub-directories of 1Mb or more:
doc 1.4Mb
libs 23.8Mb
NOTE
r-oldrel-windows-x86_64
Rd files
checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-patched-linux-x86_64
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-release-linux-x86_64
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-release-macos-arm64
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-release-macos-x86_64
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
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r-release-windows-x86_64
Rd files
checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:169: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:170: Lost braces in \itemize; meant \describe ?
Check History
NOTE 0 OK · 14 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
NOTE
r-devel-linux-x86_64-debian-clang
CRAN incoming feasibility
Maintainer: ‘Daniel P. Palomar <daniel.p.palomar@gmail.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead. The Description field contains parity portfolios. <arXiv:1311.4057>. Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
NOTE
r-devel-linux-x86_64-debian-gcc
CRAN incoming feasibility
Maintainer: ‘Daniel P. Palomar <daniel.p.palomar@gmail.com>’ Package CITATION file contains call(s) to old-style personList() or as.personList(). Please use c() on person objects instead. Package CITATION file contains call(s) to old-style citEntry(). Please use bibentry() instead. The Description field contains parity portfolios. <arXiv:1311.4057>. Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
NOTE
r-devel-linux-x86_64-fedora-clang
Rd files
checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \d
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r-devel-linux-x86_64-fedora-gcc
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \d
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \d
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \d
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \d
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \d
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \d
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checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \d
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r-release-windows-x86_64
Rd files
checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \d
NOTE
r-oldrel-macos-arm64
installed package size
installed size is 25.2Mb
sub-directories of 1Mb or more:
doc 1.4Mb
libs 23.7Mb
NOTE
r-oldrel-macos-x86_64
installed package size
installed size is 25.4Mb
sub-directories of 1Mb or more:
doc 1.4Mb
libs 23.8Mb
NOTE
r-oldrel-windows-x86_64
Rd files
checkRd: (-1) riskParityPortfolio.Rd:163: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:164: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:165: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:166: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:167: Lost braces in \itemize; meant \describe ? checkRd: (-1) riskParityPortfolio.Rd:168: Lost braces in \itemize; meant \d
Reverse Dependencies (1)
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Version History
new
0.2.2
Mar 9, 2026