HierPortfolios1.0.2 package

Hierarchical Risk Clustering Portfolio Allocation Strategies

DHRP_Portfolio

Constrained Hierarchical Risk Parity

HCAA_Portfolio

Hierarchical Clustering-Based Asset Allocation

HERC_Portfolio

Hierarchical Equal Risk Contribution

HRP_Portfolio

Hierarchical Risk Parity

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Machine learning hierarchical risk clustering portfolio allocation strategies. The implemented methods are: Hierarchical risk parity (De Prado, 2016) <DOI: 10.3905/jpm.2016.42.4.059>. Hierarchical clustering-based asset allocation (Raffinot, 2017) <DOI: 10.3905/jpm.2018.44.2.089>. Hierarchical equal risk contribution portfolio (Raffinot, 2018) <DOI: 10.2139/ssrn.3237540>. A Constrained Hierarchical Risk Parity Algorithm with Cluster-based Capital Allocation (Pfitzingera and Katzke, 2019) <https://www.ekon.sun.ac.za/wpapers/2019/wp142019/wp142019.pdf>.

  • Maintainer: Carlos Trucios
  • License: GPL-2
  • Last published: 2025-09-12

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