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

Package details

AuthorCarlos Trucios
MaintainerCarlos Trucios <ctrucios@gmail.com>
URL https://github.com/ctruciosm/HierPorfolios
Package repositoryView on CRAN
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HierPorfolios documentation built on Nov. 8, 2021, 5:09 p.m.