A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios
Portfolio Management
2013-11-19 v1
Abstract
In this paper we propose a cyclical coordinate descent (CCD) algorithm for solving high dimensional risk parity problems. We show that this algorithm converges and is very fast even with large covariance matrices (n > 500). Comparison with existing algorithms also shows that it is one of the most efficient algorithms.
Cite
@article{arxiv.1311.4057,
title = {A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios},
author = {Théophile Griveau-Billion and Jean-Charles Richard and Thierry Roncalli},
journal= {arXiv preprint arXiv:1311.4057},
year = {2013}
}
Comments
9 pages, 1 figure