Interactive demo

Risk budgeting, live

This is the idea behind my paper, running in your browser. Choose each asset's volatility, the correlation between them, and how you want to split portfolio risk. The optimal risk-budgeting portfolio is computed on the fly, and you can watch its risk contributions match your targets — and the mirror-descent optimizer converge. Read the paper · Code

Inputs
Correlation (all pairs)0.20
PortfolioRisk-budgeted
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Portfolio volatility
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Diversification ratio
Weights
Risk contributions vs. your budgets
risk contribution your target budget