Looking for non-GAUSS Code for Thiery Roncalli's book on Risk Parity and Budgeting

External question — Quantitative Finance Stack Exchange Author: Jean_N Original post: https://quant.stackexchange.com/questions/57737 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. 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!

External answer — Quantitative Finance Stack Exchange Author: Jeweller89 Original post: https://quant.stackexchange.com/a/57741 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Look at this thesis which provide algebra and code in Matlab: https://research.cbs.dk/da/studentProjects/2ce27aba-d4df-4daa-b00e-1ea9a5e21049