Class RiskParityOptimizer

java.lang.Object

com.quantfinlib.optimization.RiskParityOptimizer

public final class RiskParityOptimizer
extends Object

Risk parity: the portfolio where every asset contributes equally to total risk (w_i (Σw)_i equal across assets). Solved by the standard multiplicative fixed-point iteration on marginal risk contributions — deterministic and long-only.

Method Summary

Modifier and Type	Method	Description
static PortfolioOptimizer.Allocation	equalRiskContribution(double[] expectedReturns, double[][] covariance)	Equal-risk-contribution weights (expected returns used only for reporting).
static double[]	riskContributions(double[] w, double[][] covariance)	Each asset's fractional contribution to portfolio variance under weights w.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

equalRiskContribution

public static PortfolioOptimizer.Allocation equalRiskContribution(double[] expectedReturns,
 double[][] covariance)

Equal-risk-contribution weights (expected returns used only for reporting).

riskContributions

public static double[] riskContributions(double[] w,
 double[][] covariance)

Each asset's fractional contribution to portfolio variance under weights w.