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HierPorfolios: Hierarchical Clustering-Based Portfolio Allocation Strategies
Machine learning portfolio allocation strategies based on hierarchical clustering methods. The implemented methods are: Hierarchical risk parity (De Prado, 2016) <DOI: 10.3905/jpm.2016.42.4.059> and Hierarchical clustering-based asset allocation (Raffinot, 2017) <DOI: 10.3905/jpm.2018.44.2.089>.
Getting started
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Package details |
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| Author | Carlos Trucios |
| Maintainer | Carlos Trucios <ctrucios@gmail.com> |
| License | GPL-2 |
| Version | 0.1.0 |
| URL | https://github.com/ctruciosm/HierPorfolios |
| Package repository | View on CRAN |
| Installation |
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