dcajasn/Riskfolio-Lib

risk parity portfolio comparison to R

msh855 opened this issue · 1 comments

msh855 commented

Hi Danny,

I struggle to replicate the results from this R library.

Especially, for these default cases (please see the link)

  • rpp_vanilla <- riskParityPortfolio(Sigma)
  • rpp_naive <- riskParityPortfolio(Sigma, formulation = "diag")

where Sigma is the covariance of returns.

Can you help with is the right configuration in your library to replicate the results from R.

dcajasn commented

Hi @msh855,

This is not an issue. If you read the README file, these kind of questions have a cost of USD 50.

Best regards,
Dany