This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re-introducing the asset expected returns into the model and...

In this paper we reviewed some numerical algorithms, implemented in R language which solve the Risk Budgeting (RB) allocation problem. We demonstrated that the well known Sequential Quadratic Programming (SQP) whose objective function is not strictly convex, fails to converge for high...