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Efficient Algorithms for Computing RiskParity Portfolio Weights
Denis Biangolino Chaves / Feifei Li / Jason Hsu / Omid Shakernia
portfolio management / portfolio optimizationResource overview

Efficient Algorithms for Computing RiskParity Portfolio Weights

Paper2012

by Denis Biangolino Chaves, Feifei Li, Jason Hsu, Omid Shakernia

Tags
portfolio managementportfolio optimization

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Suggested foundations for portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

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