Skip to content

RiskParity.R issues with Risk contribution #3

@aaaaarrrgghhh

Description

@aaaaarrrgghhh

line 33
portfolio.risks <- rbind(portfolio.parity$risk_contribution/sum(portfolio.parity$risk_contribution), getCovRiskBudgets(portfolio.tangency))

2 issues:

  1. parity portfolio is "parity" - why take weights?
  2. the column name is relative_risk_contribution

so the line should really be just
portfolio.risks <- rbind(portfolio.parity$relative_risk_contribution, getCovRiskBudgets(portfolio.tangency))

Metadata

Metadata

Assignees

Labels

No labels
No labels

Projects

No projects

Milestone

No milestone

Relationships

None yet

Development

No branches or pull requests

Issue actions