riskparity.rs

Implementations of risk parity portfolios in Rust

Example

```{rust} use riskparity::vanilla::computeriskparityccd_choi;

fn main() { let cov = ndarray::arr2(&[ [1.0, 0.0015, -0.0119], [0.0015, 1.0, -0.0308], [-0.0119, -0.0308, 1.0], ]); let budget = ndarray::arr1(&[0.1594, 0.0126, 0.8280]); let maxiter = 100; let tol = 1e-6; println!( "{}", computeriskparityccd_choi(&cov, &budget, maxiter, tol) ); // [0.279862, 0.087749, 0.632388] } ```

References