Bug in Risk Parity Optimization

Johann BurkardJuly 08, 25 | Posted in General

Hi guys,

I think there is a bug in the Risk Parity Optimization, in particular saving the portfolio. I use Standard Deviation as the risk measure and a 1 y lookback period. The original portfolio has 16 positions. When I optimize the portfolio, I get new values but when I then save the optimized portfolio, all positions have a weighting of 6.25%.

Now saving a portfolio with 9 positions worked fine before.

Thanks for any help,

Johann

2 comments

Sort by

Dmitry ShevchenkoJuly 14, 25

Hmm, I tried to reproduce the issue a few times, but it worked well on my end — the optimized portfolio didn’t reset to equal weight. Could you reach out to support@portfolioslab.com with more details on the portfolio you used (including positions and the exact optimization settings), so we can try to reproduce it exactly? Thanks!

Johann BurkardJuly 14, 25

Hi Dmitry,

thanks for getting back to me. I can't reproduce the bug anymore. Just tried saving a larger optimized portfolio and had no issues.

Will email you if the bug comes back.

Thanks,

Johann

Views

179

Bug in Risk Parity Optimization

2 comments

Category

Views