Analytical Solution for the Equal-Risk-Contribution Portfolio

leephy · June 17th, 2011, 1:12 pm

Hi, Farid, I send you email to ask for password for you code, could you pls take a look? Thx!

foxkingdom · June 18th, 2012, 1:21 pm

Sorry for relauching this thread again. But I want to know whether it is possible to do this optimization in Excel VBA (not in matlab...). More precisely, according to this paper the problem is equivalent to minimizing variance under a non-linear constraint (equation 7 in the paper). Can any of you recommand some numerical methods to solve this problem?Any suggestion or reference is appreciated, thank you all.

acastaldo · July 28th, 2012, 10:19 am

Recently (July 2012) a paper from Chaves, Hsu, Li, Shakernia has appeared on SSRN.. The authors have developed an iterative method (in fact 2 different methods) to find the ERC portfolio they say is simpler than the Maillard, Roncalli, Teiletche (2010) method in that it does not require nonlinear optimization.What do you think.