optimization proble risk parity
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Tommaso Delicato
le 22 Déc 2020
Commenté : Tommaso Delicato
le 16 Jan 2021
I state that I am not very experienced in MATLAB. I should create and minimize a function to find the weights of an asset allocation problem. The problem is as follow:
Minimize ∑(RC(Fj)/σP−1/M)^2 for j=1:M
sub ∑x=1
where RC(Fj) = (A⊤x)j⋅ (A+Σx/√x⊤Σx)j
where
- A is a loadings matrix
- A+ is Moore-Penrose inverse of A
- Σ is a covariance matrix
- x is a weights vector
I would need some codes to solve these problems. Thank you in advance.
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Rishik Ramena
le 31 Déc 2020
MATLAB does have a toolbox dedicated to solving optimization problems like these. Do have a look at its documentation for the ramp up.
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