Risk Parity / Equal-risk contribution optimization

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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:

thanks!

ac 2016-5-23

Hi EM, did you managed to implement it?

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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