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Hard · portfolio_optimization · Quant Researcher interview question · portfolio-optimization, risk-parity, equal-risk-contribution, scipy, convex-optimization
Risk parity is a portfolio allocation methodology where each asset contributes equally to total portfolio volatility, serving as a robust benchmark in systematic strategies by avoiding the need for return forecasts. The objective is to solve for weights that equalize each asset's risk contribution. Task Implement the function solution(cov_matrix: listlistfloat) -> listfloat to calculate equal risk contribution (ERC) portfolio weights. The function must minimize the sum of squared differences be