Risk Parity / Equal-risk contribution optimization
4 visualizzazioni (ultimi 30 giorni)
Mostra commenti meno recenti
I am trying to implement the risk parity or ERC portfolio.
How can I implement the cyclical coordinate descent algorithm to solve the optimization as outlined by Roncalli in:
thanks!
Risposte (1)
Yosef Bisk
il 28 Set 2017
Modificato: Yosef Bisk
il 28 Set 2017
W := Nx1 vector of starting weights
Sigma := NxN matrix of co-variances
These two lines should do it.
f = @(W) var(W.*(Sigma*W))*10^14; %Note: The 10^14 is there to increase accuracy
ERC_weights = fmincon(f,W,[],[],ones(1,length(W)),1)
0 Commenti
Vedere anche
Categorie
Scopri di più su Portfolio Optimization and Asset Allocation in Help Center e File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!