Description

This is an implementation of the equal weighted risk contributions algorithm (6) outlined in "On the properties of equally-weighted risk contributions portfolios" by Maillard, Roncalli, and Teiletche available here.

Install

You can pip install this package from github, i.e.

pip install git+git://github.com/matthewgilbert/erc.git@master

Requires

numpy
scipy

For testing also requires

coveralls
flake8
pytest-cov