GitHub - alvaroalmeidagomez/Risk-Parity: Risk parity algorithm using reinforcement learning

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Name		Name	Last commit message	Last commit date
Latest commit History 5 Commits
Gen_trajectories.m		Gen_trajectories.m
In_sample.m		In_sample.m
Readme.txt		Readme.txt
Return_DB.csv		Return_DB.csv
cvar_function.m		cvar_function.m
functionQ.m		functionQ.m
generator.m		generator.m
gradient_function.m		gradient_function.m
icvar_function.m		icvar_function.m
main_algo.m		main_algo.m
rc_function.m		rc_function.m
retraction.m		retraction.m

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*The data set defined as Return_DB.csv contains the historical returns:

-The first column is the date.
-The second column is the benchmark.
-The asset universe consists of the columns from the third to the last.

*To run the algorithm, please run the file main_algo.m.

*To check the in-sample graphics, run the file in_sample.m.

*If you have any suggestions or questions, please write to: [email protected].