A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios

Théophile Griveau-Billion, Jean-Charles Richard and Thierry Roncalli

Papers from arXiv.org

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.

Date: 2013-11
New Economics Papers: this item is included in nep-cmp and nep-rmg
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Citations: View citations in EconPapers (5)

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Working Paper: A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1311.4057

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