alloc_parity: 3 tools.
Inputs, limits and outputs are described in Fincept Allocation. Full schemas:
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Portfolios whose assets (or classes, or factors) contribute risk in chosen proportions: equal risk contribution and risk budgeting for 22 risk measures, relaxed risk parity, factor risk parity and optimisation under factor risk-contribution limits; each answer shows the achieved risk contributions.
alloc_parity: 3 tools.
| Tool | What it does | Notes |
|---|---|---|
alloc_risk_parity | Risk parity (equal risk contribution) or risk budgeting portfolio for one of 22 risk measures (standard deviation, MAD, CVaR, EVaR, CDaR, ulcer index, …): each asset’s share of portfolio risk matches its budget (equal, per asset, or equal per class). | |
alloc_relaxed_risk_parity | Relaxed risk parity on variance: risk contributions near their budgets while a minimum expected return or weight rules can bind, which exact risk parity cannot honour. | |
alloc_factor_risk_budget | Factor risk budgeting on a factor model of the assets: parity spreads portfolio risk across the factors by factor_budget for one of 22 risk measures; constrained optimises the objective on variance while each factor’s share of variance obeys factor_limits (and constraints). |
fincept_describe_tool.