README.md
In jackylauu/hierarchicalPortfolios: Design of Hierarchical Clustering-Based Portfolios
hierarchicalPortfolios
Offers a set of functions for the design of portfolios using hierarchical
clustering, such as Lopez de Prado's (2015) hierarchical risk parity (HRP)
method, as well as the hierarchical equal risk contribution (HERC) method
proposed by Raffinot (2018). In addition, we provide some extensions the
original methods, such as: divisive clustering, a tuning parameter for HRP and
HERC, alternative risk measures (such as expected shortfall) for HERC, and
budget constraints on HRP.
Installation
This package can be installed by running
devtools::install_github("jackylauu/hierarchicalPortfolios")
jackylauu/hierarchicalPortfolios documentation built on Dec. 20, 2021, 8:06 p.m.
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hierarchicalPortfolios
Offers a set of functions for the design of portfolios using hierarchical clustering, such as Lopez de Prado's (2015) hierarchical risk parity (HRP) method, as well as the hierarchical equal risk contribution (HERC) method proposed by Raffinot (2018). In addition, we provide some extensions the original methods, such as: divisive clustering, a tuning parameter for HRP and HERC, alternative risk measures (such as expected shortfall) for HERC, and budget constraints on HRP.
Installation
This package can be installed by running
devtools::install_github("jackylauu/hierarchicalPortfolios")
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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