An Algorithm for Computing Risk Parity Weights

This paper presents an efficient algorithm for computing the allocation weights of the risk parity portfolio (or the more general risk budget portfolio) based on Newton's method. The algorithm is provably convergent, and in dimension < 1000 requires on average less than 5 iterations

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Year of publication:	2020
Authors:	Spinu, Florin
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Algorithmus \| Algorithm \| Portfolio-Management \| Portfolio selection \| Mathematische Optimierung \| Mathematical programming

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Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 30, 2013 erstellt
Other identifiers:	10.2139/ssrn.2297383 [DOI]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012857004