R Package mcrp

Description

This package contains an implementation of multiple criteria risk parity optimization with respect to the portfolio’s variance, skewness and kurtosis. It is based on the paper written by:

• Baitinger, E. and Dragosch, A. and Topalova, A., Extending the Risk Parity

Approach to Higher Moments: Is there Any Value Added?, The Journal of Portfolio Managament, 2017, 43 (2), 24–36.

Additional references with respect to the computation of higher moments of portfolio returns are:

• Boudt, K. and Peterson, B. and Croux, C., Estimation and decomposition of downside risk

for portfolios with non-normal returns, The Journal of Risk, 11 (2), Winter 2008 / 09, 79–103

• Jondeau, E. and Rockinger, M., Optimal portfolio allocation under higher moments,

European Financial Management, 2006, 12 (1), 29–55.

Download

The package is hosted on R-Forge and GitHub.