RiskBudgeting.jl is a Julia package for calculating the weights of the risk budgeting portfolio with inspiration from the paper Robust Risk Budgeting Algorithms in R by Farah Bouzida. RiskBudgeting.jl consists of two steps, the risk partition of the portfolio assets and the solvers for the optimization of the risk partition. For usage, please see the documention.
- Popularity
- 4 Stars
- Updated Last
- 2 Years Ago
- Started In
- June 2022
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