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RiskPortfolios

RiskPortfolios: Computation of Risk-Based Portfolios in R - Published in JOSS (2017)

https://github.com/ardiad/riskportfolios

Science Score: 93.0%

This score indicates how likely this project is to be science-related based on various indicators:

  • ○
    CITATION.cff file
  • ✓
    codemeta.json file
    Found codemeta.json file
  • ✓
    .zenodo.json file
    Found .zenodo.json file
  • ✓
    DOI references
    Found 19 DOI reference(s) in README and JOSS metadata
  • ○
    Academic publication links
  • ○
    Committers with academic emails
  • ○
    Institutional organization owner
  • ✓
    JOSS paper metadata
    Published in Journal of Open Source Software

Keywords

covariance optimization portfolio portfolio-optimization risk

Keywords from Contributors

econometrics hac nse
Last synced: 4 months ago · JSON representation

Repository

Functions for the construction of risk-based portfolios

Basic Info
  • Host: GitHub
  • Owner: ArdiaD
  • License: gpl-2.0
  • Language: R
  • Default Branch: master
  • Size: 1.16 MB
Statistics
  • Stars: 53
  • Watchers: 5
  • Forks: 19
  • Open Issues: 9
  • Releases: 1
Topics
covariance optimization portfolio portfolio-optimization risk
Created over 9 years ago · Last pushed over 4 years ago
Metadata Files
Readme Changelog Contributing License

README.md

RiskPortfolios

RiskPortfolios (Ardia et al., 2017a) is an R package for constructing risk-based portfolios dedicated to portfolio managers and quantitative analysts. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted, equal-risk-contribution, maximum diversification, and risk-efficient portfolios. As risk-based portfolios are mainly based on covariances, the package also provides a large set of covariance matrix estimators. See Ardia et al. (2017b) for details.

Please cite the package in publications!

By using RiskPortfolios you agree to the following rules:

1) You must cite Ardia et al. (2017a) in working papers and published papers that use RiskPortfolios. 2) You must place the following URL in a footnote to help others find RiskPortfolios: https://CRAN.R-project.org/package=RiskPortfolios. 3) You assume all risk for the use of RiskPortfolios.

Ardia, D., Boudt, K., Gagnon-Fleury, J.-P. (2017a).
RiskPortfolios: Computation of risk-based portfolios in R.
Journal of Open Source Software, 10(2), 1.
https://doi.org/10.21105/joss.00171

Ardia, D., Bolliger, G., Boudt, K., Gagnon-Fleury, J.-P. (2017b).
The impact of covariance misspecification in risk-based portfolios.
Annals of Operations Research, 254(1-2), 1-16.
https://doi.org/10.1007/s10479-017-2474-7
https://doi.org/10.2139/ssrn.2650644

Owner

  • Name: David Ardia
  • Login: ArdiaD
  • Kind: user
  • Location: Canada
  • Company: HEC Montréal

Professor in Quantitative Finance

JOSS Publication

RiskPortfolios: Computation of Risk-Based Portfolios in R
Published
February 03, 2017
DOI
Volume 2, Issue 10, Page 171
Authors
David Ardia ORCID
Institute of Financial Analysis - University of Neuchâtel
Kris Boudt
Solvay Business School - Vrije Universiteit Brussel
Jean-Philippe Gagnon-Fleury
PSP Investments
Editor
Arfon Smith ORCID
Tags
risk portfolio optimization mean-variance minimum variance inverse-volatility equal-risk-contribution maximum diversification risk-efficient
View PDF Review Thread Software Archive

GitHub Events

Total
  • Issues event: 2
  • Watch event: 2
  • Issue comment event: 2
  • Fork event: 1
Last Year
  • Issues event: 2
  • Watch event: 2
  • Issue comment event: 2
  • Fork event: 1

Committers

Last synced: 5 months ago

All Time
  • Total Commits: 80
  • Total Committers: 4
  • Avg Commits per committer: 20.0
  • Development Distribution Score (DDS): 0.162
Past Year
  • Commits: 0
  • Committers: 0
  • Avg Commits per committer: 0.0
  • Development Distribution Score (DDS): 0.0
Top Committers
Name Email Commits
ardiad d****h@g****m 67
Jean-Philippe Gagnon Fleury J****y@M****l 10
ArdiaD d****a@f****a 2
Arfon Smith a****n 1
Committer Domains (Top 20 + Academic)
fsa.ulaval.ca: 1

Issues and Pull Requests

Last synced: 4 months ago

All Time
  • Total issues: 17
  • Total pull requests: 3
  • Average time to close issues: 3 days
  • Average time to close pull requests: about 5 hours
  • Total issue authors: 8
  • Total pull request authors: 3
  • Average comments per issue: 0.47
  • Average comments per pull request: 0.33
  • Merged pull requests: 2
  • Bot issues: 0
  • Bot pull requests: 0
Past Year
  • Issues: 2
  • Pull requests: 0
  • Average time to close issues: 36 minutes
  • Average time to close pull requests: N/A
  • Issue authors: 2
  • Pull request authors: 0
  • Average comments per issue: 1.5
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
View more stats
Top Authors
Issue Authors
  • ArdiaD (9)
  • tschm (2)
  • rjvelasquezm (1)
  • mirca (1)
  • haansn08 (1)
  • Lumpen95 (1)
  • galaad1 (1)
  • PierreLequeux (1)
Pull Request Authors
  • mirca (1)
  • jpgaf (1)
  • arfon (1)
Top Labels
Issue Labels
enhancement (6) help wanted (1) bug (1)
Pull Request Labels

Packages

  • Total packages: 1
  • Total downloads:
    • cran 355 last-month
  • Total docker downloads: 43,390
  • Total dependent packages: 3
  • Total dependent repositories: 1
  • Total versions: 6
  • Total maintainers: 1
cran.r-project.org: RiskPortfolios

Computation of Risk-Based Portfolios

  • Versions: 6
  • Dependent Packages: 3
  • Dependent Repositories: 1
  • Downloads: 355 Last month
  • Docker Downloads: 43,390
Rankings
Docker downloads count: 0.6%
Forks count: 4.1%
Stargazers count: 6.8%
Dependent packages count: 10.9%
Average: 11.6%
Downloads: 23.0%
Dependent repos count: 24.0%
Maintainers (1)
david.ardia.ch@gmail.com
Last synced: 4 months ago

Dependencies

DESCRIPTION cran
  • MASS * imports
  • nloptr * imports
  • quadprog * imports
  • testthat * suggests