Risk Parity / Equal-risk contribution optimization

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EM
EM 2016-4-13
编辑： Yosef Bisk 2017-9-28
I am trying to implement the risk parity or ERC portfolio.
How can I implement the cyclical coordinate descent algorithm to solve the optimization as outlined by Roncalli in:
http://arxiv.org/pdf/1311.4057.pdf
thanks!

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Yosef Bisk
Yosef Bisk 2017-9-28
编辑：Yosef Bisk 2017-9-28
W := Nx1 vector of starting weights
Sigma := NxN matrix of co-variances
These two lines should do it.
f = @(W) var(W.*(Sigma*W))*10^14; %Note: The 10^14 is there to increase accuracy
ERC_weights = fmincon(f,W,[],[],ones(1,length(W)),1)

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