{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/a-fast-algorithm-for-computing-high","title":"A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios","arxiv_id":"1311.4057","date":"2013-11-16","proceeding":null,"authors":["Théophile Griveau-Billion","Jean-Charles Richard","Thierry Roncalli"],"abstract":"In this paper we propose a cyclical coordinate descent (CCD) algorithm for\nsolving high dimensional risk parity problems. We show that this algorithm\nconverges and is very fast even with large covariance matrices (n > 500).\nComparison with existing algorithms also shows that it is one of the most\nefficient algorithms.","url_abs":"http://arxiv.org/abs/1311.4057v1","url_pdf":"http://arxiv.org/pdf/1311.4057v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"a-fast-algorithm-for-computing-high","repo_url":"https://github.com/jcrichard/pyrb","is_official":1,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"none","reach":null},{"paper_slug":"a-fast-algorithm-for-computing-high","repo_url":"https://github.com/cran/riskParityPortfolio","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null},{"paper_slug":"a-fast-algorithm-for-computing-high","repo_url":"https://github.com/dppalomar/riskParityPortfolio","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null},{"paper_slug":"a-fast-algorithm-for-computing-high","repo_url":"https://github.com/dppalomar/riskparity.py","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"jax","reach":null}],"tasks":[{"task_slug":"high","task_name":"Vocal Bursts Intensity Prediction"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}