riskParityPortfolio

0.2.2

Design of Risk Parity Portfolios

1packages depend

20Kdownloads / year

84.7%test coverage

0/13checks pass

Overview

About

Maintained by Daniel P. PalomarFirst published 2018-12-256 releasesCRAN page ↗GitHub ↗

Fast design of risk parity portfolios for financial investment. The goal of the risk parity portfolio formulation is to equalize or distribute the risk contributions of the different assets, which is missing if we simply consider the overall volatility of the portfolio as in the mean-variance Markowitz portfolio. In addition to the vanilla formulation, where the risk contributions are perfectly equalized subject to no shortselling and budget constraints, many other formulations are considered that allow for box constraints and shortselling, as well as the inclusion of additional objectives like the expected return and overall variance. See vignette for a detailed documentation and comparison, with several illustrative examples. The package is based on the papers: Y. Feng, and D. P. Palomar (2015). SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design. IEEE Trans. on Signal Processing, vol. 63, no. 19, pp. 5285-5300. doi:10.1109/TSP.2015.2452219. F. Spinu (2013), An Algorithm for Computing Risk Parity Weights. doi:10.2139/ssrn.2297383. T. Griveau-Billion, J. Richard, and T. Roncalli (2013). A fast algorithm for computing High-dimensional risk parity portfolios. arXiv:1311.4057.

Install

R (CRAN)pak (dev)Ubuntu (r2u)openSUSE (OBS)

install.packages("riskParityPortfolio", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("dppalomar/riskParityPortfolio")

Development version from dppalomar/riskParityPortfolio. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-riskparityportfolio

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-riskParityPortfolio

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13NOTE

Failing flavors

NOTE r-devel-linux-x86_64-debian-clang
NOTE r-devel-linux-x86_64-debian-gcc
NOTE r-devel-linux-x86_64-fedora-clang
NOTE r-devel-linux-x86_64-fedora-gcc
NOTE r-devel-windows-x86_64
NOTE r-oldrel-macos-arm64
NOTE r-oldrel-macos-x86_64
NOTE r-oldrel-windows-x86_64
NOTE r-patched-linux-x86_64
NOTE r-release-linux-x86_64
NOTE r-release-macos-arm64
NOTE r-release-macos-x86_64
NOTE r-release-windows-x86_64

Slowest check: 3.3 min · r-oldrel-windows-x86_64

Code health

Yes

Tests · ratio 0.36

84.7%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

NOTE2026-04-22
0 OK · 14 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-04-18
0 OK · 13 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
0 OK · 14 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 440 wordsVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 100%
Return-value docs: 50%
References docs: 67%

Downloads

20K

CRAN downloads in the past year

Rank #3,100 · ~55/day · ~1.7K/mo

Releases R versions

Daily download trend is not available in this view yet.

1.3K30 days

4.5K90 days

20K1 year

Compare downloads with other packages →

Also on436 r2u27 autocran67 c2d4u

Repository

GitHub ↗ dppalomar/riskparityportfolio

123Stars

30Forks

9Open issues

0Open PRs

6Releases

750Commits

3Contributors

portfolioriskrisk-parityoptimization

License GPL-3.0 · 750 commits · Last activity 2022-11-15

Repository practices

Upstream repositoryBeta

6 development-tooling and community-health practices detected across 6 families in the upstream repository

Checks run against github.com/dppalomar/riskparityportfolio on 2026-07-19.

Continuous integration (1)

GitHub Actions

Reproducibility and dev environment (1)

Makefile

CRAN release process (1)

cran-comments.md

Docs source (1)

README.Rmd

Show all practices

Lint, format, editor (1)

RStudio project

Git structural (1)

.gitattributes

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

15 external dependencies (excludes base and recommended)

Depends (0)

none

Imports (5)

alabamaMatrixnloptr quadprog Rcpp

LinkingTo (2)

Rcpp RcppEigen

Suggests (9)

knitr ggplot2 numDeriv portfolioBacktest prettydoc rmarkdown R.rsp testthat viridisLite

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

1direct

0indirect

ConnectednessApproach

Code & Tests

People & History

People (2)

Maintainer (1)

Daniel P. Palomar

Maintainer, Author

Authors (2)

Daniel P. Palomar

Maintainer, Author

Ze Vinicius

Author

Listed in earlier versions (1)

Daniel P.

no longer listed · 0.1.0 to 0.2.2

Package Timeline

6 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
0.2.2Latest
2021-06-01 · current release · diff ↗
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
0.2.1
2019-10-07 · diff ↗
0.2.0
2019-08-31 · diff ↗
0.1.2
2019-06-01 · diff ↗
R
R 3.6.0 released · 2019-04-26
0.1.1
2019-01-08 · diff ↗
0.1.0
2018-12-25
R
R 3.5.0 released · 2018-04-23

Package metadata

First published: 2018-12-25
Total releases: 6 / 8 yrs
License: GPL-3 OSI
Download size: 1.1 MB
Installed size: not tracked yet
With dependencies: not tracked yet

Appears in task views

Empirical Finance

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