HierPortfolios

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.

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