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:
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:
for portfolios with non-normal returns, The Journal of Risk, 11 (2), Winter 2008 / 09, 79–103
European Financial Management, 2006, 12 (1), 29–55.