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I am going through the book 'Introduction to Risk Parity and Budgeting' by Thierry Roncalli (2013). The author provides software for the various concepts illustrated in the book, but it is all done in GAUSS (see here). It's a language I have never used and do not have access to.

I was wondering if someone would know of a Matlab, Python or even R repository that 'translates' at least partially the code? I tried looking for a Github repo that does it but couldn't find anything...

Appreciate the help!

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Look at this thesis which provide algebra and code in Matlab: https://research.cbs.dk/da/studentProjects/2ce27aba-d4df-4daa-b00e-1ea9a5e21049

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  • $\begingroup$ Correct me if I am wrong, but I believe this document only provides the high level MATLAB main program and not the sub-routines which do all the work. $\endgroup$
    – noob2
    Sep 2 '20 at 15:27
  • $\begingroup$ You are not wrong @noob2, it just contains the main script which calls certain functions (just a couple) that are not visible. I don't mean to diss the answer at all though, I appreciate the effort, very much, it is just not quite what I am looking for. I am really surprised nobody has built a library out the book yet. The Gauss code is accessible and somehow readable, so it won't be impossibly hard to do. If one has access to the software itself , then of course it would be easier. $\endgroup$
    – Jean_N
    Sep 3 '20 at 18:33

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