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convexfi / riskparity.py

Fast and scalable construction of risk parity portfolios
https://mirca.github.io/riskparity.py/
MIT License
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Changes: Finer control of the iterative algorithm and dummy variables allowed in the constraints. #31

Closed dppalomar closed 3 months ago

dppalomar commented 3 months ago

1) Documentation updated for RiskParityPortfolio(), SuccessiveConvexOptimizer(), and design() 2) Initial tau changed 3) Sign notation in Dmat changed for consistency (it does not affect anything from the outside). 4) Function design() now takes arguments verbose and control_numerical_ill_conditioning (which controls numerical issues). 5) Now the linear constraints can involve dummy variables apart from the portfolio weights. 6) Many more unit tests added.