CVaRRiskParity

CVaRRiskParity is a package designed to calculate long-only weights for CV@R Risk Parity and Risk Budgeting portfolios, given arbitrary simulations of relative losses of each asset.

Currently, it implements a cutting plane algorithm with dedicated initialization for numerical stability and performance, allowing for several thousand simulations.

Simple usage

We generate a simple $3 \times 10$ matrix of simulations, and evaluate the 0.9-CV@R risk parity portfolio (B = ones).

using Random: MersenneTwister
using CVaRRiskParity

rng = MersenneTwister(1)

# Parameters
d    = 3  # dimension
nsim = 10 # Nb of simulations

B = ones(d)
alpha = 0.90
relative_losses = randn(rng, d, nsim)

status, w = cvar_rbp(B, alpha, relative_losses)
@assert status == 0
@assert isapprox(w, [0.2280, 0.2706, 0.5014]; atol=1e-4)

Example using JuliaCall from R