[R-SIG-Finance] riskParityPortfolio package release

[José Vinícius de Miranda Cardoso]

Hi everyone,

I'm pleased to announce the first release of the package
*riskParityPortfolio* on GitHub (soon to be submitted to CRAN):
https://github.com/dppalomar/riskParityPortfolio.

We implement several algorithms for the design of risk parity portfolios,
namely:

   - the Newton method proposed by Spinu (2013)
   - the successive convex approximation proposed by Feng  (2015)
   - wrapper around well-known general solvers to the R community such as
   alabama

For more detailed information, please visit the package's webpage at:
http://mirca.github.io/riskParityPortfolio

F. Spinu, “An algorithm for computing risk parity weights,” *SSRN*, 2013.
Y. Feng and D. P. Palomar, “SCRIP: Successive convex optimization methods
for risk parity portfolios design,” *IEEE Trans. Signal Process.*, vol. 63,
no. 19, pp. 5285–5300, Oct. 2015.

Feedback and bug reports are more than welcome. Feel free to open a ticket
at https://github.com/dppalomar/riskParityPortfolio/issues.

Thank you,
Zé Vinícius
-- 
webpage: http://mirca.github.io
github: @mirca <http://www.github.com/mirca>
twitter: @mircaze <http://www.twitter.com/mircaze>

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