Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 8, 2021 erstellt
Description:
In this note, we review the conclusions of a paper comparing a cyclical coordinate descent (CCD) algorithm with other algorithms for solving risk parity portfolio optimization problems. In particular, we show that a proper numerical implementation of the CCD algorithm is fast, robust and convergent, confirming that the CCD algorithm is one of the most efficient algorithms to solve risk parity portfolio optimization problems