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To cite 'riskParityPortfolio' in publications, please use:
Cardoso JVdM, Palomar DP (2021). riskParityPortfolio: Design of Risk Parity Portfolios. R package version 0.2.2, https://CRAN.R-project.org/package=riskParityPortfolio.
Feng Y, Palomar DP (2015). “SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design.” IEEE Transactions on Signal Processing, 63(19), 5285–5300. https://doi.org/10.1109/TSP.2015.2452219.
Corresponding BibTeX entries:
@Manual{,
title = {{riskParityPortfolio: Design of Risk Parity Portfolios}},
author = {J. V. de M. Cardoso and D. P. Palomar},
note = {R package version 0.2.2},
year = {2021},
url = {https://CRAN.R-project.org/package=riskParityPortfolio},
}
@Article{,
title = {SCRIP: Successive Convex Optimization Methods for Risk
Parity Portfolio Design},
author = {Y. Feng and D. P. Palomar},
journal = {IEEE Transactions on Signal Processing},
volume = {63},
number = {19},
pages = {5285--5300},
year = {2015},
url = {https://doi.org/10.1109/TSP.2015.2452219},
}
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.