R Package mcrp


This package contains an implementation of multiple criteria risk parity optimization with respect to the portfolio’s variance, skewness and kurtosis. It is based on the paper written by:

  • Baitinger, E. and Dragosch, A. and Topalova, A., Extending the Risk Parity

Approach to Higher Moments: Is there Any Value Added?, The Journal of Portfolio Managament, 2017, 43 (2), 24–36.

Additional references with respect to the computation of higher moments of portfolio returns are:

  • Boudt, K. and Peterson, B. and Croux, C., Estimation and decomposition of downside risk

for portfolios with non-normal returns, The Journal of Risk, 11 (2), Winter 2008 / 09, 79–103

  • Jondeau, E. and Rockinger, M., Optimal portfolio allocation under higher moments,

European Financial Management, 2006, 12 (1), 29–55.


The package is hosted on R-Forge and GitHub.