Recently Published
Risk Parity Portfolio: Construction, Computational Implementation and Out-of-Sample Evaluation
This project presents an empirical study of Risk Parity Portfolio construction in R. It compares Equal Weight, Global Minimum Variance, Naive Risk Parity, and Risk Parity portfolios, implements Newton's Method and Cyclical Coordinate Descent from scratch, and evaluates their out-of-sample performance using a rolling walk-forward backtest.