HRP_Portfolio

Performs the Hierarchical Risk Parity portfolio proposed strategy by De Prado (2016). Several linkage methods for the hierarchical clustering can be used, by default the "single" linkage is used.

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 

HRP_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>linkage</dt>
<dd>Linkage method used in the hierarchical clustering. Allowed options are "single", "complete", "average" or "ward". Default option is "single".</dd>
<dt>graph</dt>
<dd>To plot de dendrogram set this value to TRUE. By default this value is equal to FALSE.</dd></dl>

Arguments

Author

Hierarchical Risk Parity — HRP_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>linkage</dt>
<dd>Linkage method used in the hierarchical clustering. Allowed options are "single", "complete", "average" or "ward". Default option is "single".</dd>


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

</dl>

HRP_Portfolio: Hierarchical Risk Parity

Description

Usage

Value

Arguments

Author

References

See Also

Examples