A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios
AbstractIn this paper we propose a cyclical coordinate descent (CCD) algorithm for solving high dimensional risk parity problems. We show that this algorithm converges and is very fast even with large covariance matrices (n > 500). Comparison with existing algorithms also shows that it is one of the most efficient algorithms.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1311.4057.
Date of creation: Nov 2013
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Web page: http://arxiv.org/
Other versions of this item:
- Griveau-Billion, Théophile & Richard, Jean-Charles & Roncalli, Thierry, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," MPRA Paper 49822, University Library of Munich, Germany.
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-22 (All new papers)
- NEP-CMP-2013-11-22 (Computational Economics)
- NEP-RMG-2013-11-22 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cazalet, Zelia & Grison, Pierre & Roncalli, Thierry, 2013. "The Smart Beta Indexing Puzzle," MPRA Paper 48823, University Library of Munich, Germany.
- Jerome H. Friedman & Trevor Hastie & Rob Tibshirani, . "Regularization Paths for Generalized Linear Models via Coordinate Descent," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 33(i01).
- Teiletche, Jérôme & Roncalli, Thierry & Maillard, Sébastien, 2010. "The properties of equally-weighted risk contributions portfolios," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/4688, Paris Dauphine University.
- Thierry Roncalli, 2014.
"Introduction to Risk Parity and Budgeting,"
- Roncalli, Thierry, 2013. "Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation," MPRA Paper 49821, University Library of Munich, Germany.
- Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.
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