FinCovRegularization (version 1.1.0)

RiskParity: Risk Parity Portfolio

Description

Computing a Risk Parity portfolio weights from the estimated covariance matrix of return series.

Usage

RiskParity(cov.mat)

Arguments

cov.mat

an estimated p*p covariance matrix

Value

a numerical vector containing the estimated portfolio weights

Examples

data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
RiskParity(cov(assets))