DHRP_Portfolio

Performs the Constrained Hierarchical Risk Parity portfolio strategy proposed by Pfitzinger and Katzke (2019).

DHRP

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>.

Carlos Trucios

HierPortfolios

Hierarchical Risk Clustering Portfolio Allocation Strategies

Moon Jun Kwon 

São Paulo Research Foundation (FAPESP), grant 2022/09122-0 

Programa de Incentivo a Novos Docentes da UNICAMP (PIND), grant 2525/23 

DHRP_Portfolio function

<dl><dt>covar</dt>
<dd>Covariance matrix of returns. The covariance matrix will be transformed into correlation matrix and then into a distance matrix.</dd>
<dt>graph</dt>
<dd>To plot de dendrogram set this value to TRUE. By default this value is equal to FALSE.</dd>
<dt>tau</dt>
<dd>Parameter to evaluate asset similarity at the cluster edges. Default value is 1.</dd>
<dt>UB</dt>
<dd>Upper bound for weights. By default this value is equal to NULL</dd>
<dt>LB</dt>
<dd>Lower bound for weights. By default this value is equal to NULL</dd></dl>

Arguments

Author

Constrained Hierarchical Risk Parity — DHRP_Portfolio

<dl>

<dt>covar</dt>
<dd>Covariance matrix of returns. The covariance matrix will be transformed into correlation matrix and then into a distance matrix.</dd>


<dt>graph</dt>
<dd>To plot de dendrogram set this value to TRUE. By default this value is equal to FALSE.</dd>


<dt>tau</dt>
<dd>Parameter to evaluate asset similarity at the cluster edges. Default value is 1.</dd>


<dt>UB</dt>
<dd>Upper bound for weights. By default this value is equal to NULL</dd>


<dt>LB</dt>
<dd>Lower bound for weights. By default this value is equal to NULL</dd>

</dl>

DHRP_Portfolio: Constrained Hierarchical Risk Parity

Description

Usage

Value

Arguments

Author

References

See Also

Examples