CONTRIBUTING.md

Contributing

Pull requests and issues are welcome.

TODOs

• marginal risk contribution
  • https://cran.r-project.org/web/packages/riskParityPortfolio/vignettes/slides-ConvexOptimizationCourseHKUST.pdf page 31
• add support for working with DataFrame / Tables.jl
  • returns calculations
• add more drawdown measures (page 88+)
• Kelly criterion and maybe more advanced versions
• Annualized return calculation

Building documentation

The documentation is built using Documenter.jl.

To rebuild, run the following command from the root of the repository:

cd docs && julia --project=. make.jl && cd ..