Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Written by a well-known expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes. The book's first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book's examples, tables, and figures are available on the author's website.

riskParityPortfolio riskParityPortfolio提供了用于设计风险平价投资组合的工具。 在最简单的形式中，我们考虑了提出的具有唯一解决方案的凸公式，并使用了受启发的循环方法。 对于通常是非凸的更一般的公式，我们采用提出的逐次凸逼近方法。 最新的RiskParityPortfolio稳定版本可从。 可以从获取RiskParityPortfolio的最新开发版本。 在此处查看文档： https : //mirca.github.io/riskParityPortfolio 。 安装 要从CRAN安装最新稳定版本的riskParityPortfolio ，请在R中运行以下命令： > install.packages( " riskParityPortfolio " ) 要从GitHub安装开发版本的riskParityPortfolio ，请在R中运