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A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios


  • Th'eophile Griveau-Billion
  • Jean-Charles Richard
  • Thierry Roncalli


In 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.

Suggested Citation

  • Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," Papers 1311.4057,
  • Handle: RePEc:arx:papers:1311.4057

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    References listed on IDEAS

    1. Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.
    2. Roncalli, Thierry, 2013. "Introduction to Risk Parity and Budgeting," MPRA Paper 47679, University Library of Munich, Germany.
    3. repec:dau:papers:123456789/4688 is not listed on IDEAS
    4. Friedman, Jerome H. & Hastie, Trevor & Tibshirani, Rob, 2010. "Regularization Paths for Generalized Linear Models via Coordinate Descent," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 33(i01).
    5. T. Heller & R. Huet & Bénédicte Vidaillet, 2013. "Introduction," Post-Print hal-00848256, HAL.
    6. Cazalet, Zelia & Grison, Pierre & Roncalli, Thierry, 2013. "The Smart Beta Indexing Puzzle," MPRA Paper 48823, University Library of Munich, Germany.
    7. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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