Risk_Budgeting is a Python project that allocate assets in a portfolio based on risk budgeting. A special case of risk budgeting is equal risk contribution also called risk parity, which allocated assets to have contribute equal proportion of risk in a portfolio.
The 2008-2009 financial crisis served as a wake up call to investors to focus more about risk management rather than only chasing the absolute returns of their portfolio.
- Calculate risk budgeting portfolio weights based on given risk budget.
- Rebalance the portfolio at the start of each month.
- Compare the cumulative returns of risk budgeting portfolio with equal weighted portfolio.
- Clone or download it as a zip file.
- Upzip the file and run the construct_portfolio.py file
- You can replace the sample data in the data file with your own assets data. The data frequency is daily.
Risk_Budgeting is licensed under GPL v3.
Maillard, S., Roncalli, T. & Teiletche, J. (2010), ‘The properties of equally weighted risk con- tribution portfolios’, Journal of Portfolio Management 36(4), 60–70.