RiskPortfolios | Functions for the construction of risk-based portfolios | Portfolio library

by ArdiaD R Version: 2.00.11 License: GPL-2.0

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kandi X-RAY | RiskPortfolios Summary

RiskPortfolios is a R library typically used in Web Site, Portfolio applications. RiskPortfolios has no bugs, it has no vulnerabilities, it has a Strong Copyleft License and it has low support. You can download it from GitHub.

RiskPortfolios (Ardia et al., 2017a) is an R package for constructing risk-based portfolios dedicated to portfolio managers and quantitative analysts. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted, equal-risk-contribution, maximum diversification, and risk-efficient portfolios. As risk-based portfolios are mainly based on covariances, the package also provides a large set of covariance matrix estimators. See Ardia et al. (2017b) for details.

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RiskPortfolios has a low active ecosystem.

It has 31 star(s) with 14 fork(s). There are 3 watchers for this library.

It had no major release in the last 12 months.

There are 5 open issues and 8 have been closed. On average issues are closed in 2 days. There are no pull requests.

It has a neutral sentiment in the developer community.

The latest version of RiskPortfolios is 2.00.11

Quality

RiskPortfolios has 0 bugs and 0 code smells.

Security

RiskPortfolios has no vulnerabilities reported, and its dependent libraries have no vulnerabilities reported.

RiskPortfolios code analysis shows 0 unresolved vulnerabilities.

There are 0 security hotspots that need review.

License

RiskPortfolios is licensed under the GPL-2.0 License. This license is Strong Copyleft.

Strong Copyleft licenses enforce sharing, and you can use them when creating open source projects.

Reuse

RiskPortfolios releases are available to install and integrate.

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RiskPortfolios Key Features

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RiskPortfolios Examples and Code Snippets

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Community Discussions

Trending Discussions on RiskPortfolios

Expected return and covariance from return time series

QUESTION

Expected return and covariance from return time series

Asked 2018-Dec-13 at 15:43

I’m trying to simulate the Matlab ewstats function here defined:

https://it.mathworks.com/help/finance/ewstats.html

The results given by Matlab are the following ones:

...

ANSWER

Answered 2018-Apr-24 at 14:20

They are using different algorithms. From the RiskPortfolio manual:

ewma ... See RiskMetrics (1996)

From the Matlab hlp page:

There is no relationship between ewstats function and the RiskMetrics® approach for determining the expected return and covariance from a return time series.

Unfortunately Matlab does not tell us which algorithm is used.

Source https://stackoverflow.com/questions/50003615

Community Discussions, Code Snippets contain sources that include Stack Exchange Network

Vulnerabilities

No vulnerabilities reported

Install RiskPortfolios

You can download it from GitHub.

Support

For any new features, suggestions and bugs create an issue on GitHub. If you have any questions check and ask questions on community page Stack Overflow .

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