GriveauBillion, Théophile and Richard, JeanCharles and Roncalli, Thierry (2013): A Fast Algorithm for Computing Highdimensional Risk Parity Portfolios.
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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.
Item Type:  MPRA Paper 

Original Title:  A Fast Algorithm for Computing Highdimensional Risk Parity Portfolios 
Language:  English 
Keywords:  Risk parity, risk budgeting, ERC portfolio, cyclical coordinate descent algorithm, lasso 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60  General G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions 
Item ID:  49844 
Depositing User:  Thierry Roncalli 
Date Deposited:  16 Sep 2013 19:42 
Last Modified:  26 Sep 2019 12:02 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/49844 
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A Fast Algorithm for Computing Highdimensional Risk Parity Portfolios. (deposited 14 Sep 2013 14:12)
 A Fast Algorithm for Computing Highdimensional Risk Parity Portfolios. (deposited 16 Sep 2013 19:42) [Currently Displayed]