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financial-analysis

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redharp
redharp commented Apr 12, 2020

As a 3rd party developer there is a reasonable expectation of accuracy when reading the published api documentation and additional tools from same org keep valid URL’s and service references.

Expected:

  • this repo and readme linked via Alpaca docs would be valid

Actual:

  • GDAX still referenced working and dead links to this service (the coinbase pro rebrand > 1year ago)
open-quant-live-book
aaaaarrrgghhh
aaaaarrrgghhh commented Oct 5, 2019

line 33
portfolio.risks <- rbind(portfolio.parity$risk_contribution/sum(portfolio.parity$risk_contribution), getCovRiskBudgets(portfolio.tangency))

2 issues:

  1. parity portfolio is "parity" - why take weights?
  2. the column name is relative_risk_contribution

so the line should really be just
portfolio.risks <- rbind(portfolio.parity$relative_risk_contribution, getCovRiskBudgets(portfolio

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