{"repo":"convexfi/riskparity.py","free":true,"listed":false,"github":"https://github.com/convexfi/riskparity.py","clone":"git clone https://github.com/convexfi/riskparity.py.git","description":"Fast and scalable construction of risk parity portfolios","language":"Python","stars":325,"topics":["portfolio-optimization","optimization","finance","risk-parity"],"license":"MIT","category":"trading","readme_excerpt":"riskparity.py riskparityportfolio provides solvers to design risk parity portfolios. In its simplest form, we consider the convex formulation with a unique solution proposed by Spinu (2013) and use cyclical methods inspired by Griveau-Billion et al. (2013) and Choi & Chen (2022). For more general formulations, which are usually nonconvex, we implement the successive convex approximation method proposed by Feng & Palomar (2015). Documentation: https://mirca.github.io/riskparity.py R version: https://mirca.github.io/riskParityPortfolio Rust version: https://github.com/mirca/riskparity.rs Talks : slides HKML meetup 2020 , tutorial - Data-driven Portfolio Optimization Course (HKUST) Installation development version stable version Windows requirements Make sure to install Microsoft C++ Build Tools prior to riskparityportfolio . riskparityportfolio depends on jaxlib which can be installed following these instructions. References Spinu, Florin. An Algorithm for Computing Risk Parity Weights (July 30, 2013). Available at SSRN: https://ssrn.com/abstract=2297383. Griveau-Billion, Théophile et al. A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios. https://arxiv.org/abs/1311.4057 Feng, Yiyong et al. SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design. IEEE Transactions on Signal Processing, 2015. https://ieeexplore.ieee.org/document/7145485 Choi, J., & Chen, R. (2022). Improved iterative methods for solving risk parity portfolio. Journal o","default_branch":null,"files":null,"tree":[],"storefront":"/r/convexfi","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/convexfi/riskparity.py/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}