Package: HierPortfolios 1.0.1

HierPortfolios: Hierarchical Risk Clustering Portfolio Allocation Strategies

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>.

Authors:Carlos Trucios [aut, cre], Moon Jun Kwon [aut], São Paulo Research Foundation, grant 2022/09122-0 [fnd], Programa de Incentivo a Novos Docentes da UNICAMP, grant 2525/23 [fnd]

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Bug tracker:https://github.com/ctruciosm/hierportfolios/issues

On CRAN:

4 exports 9 stars 1.66 score 2 dependencies 3 scripts 397 downloads

Last updated 1 months agofrom:613f7a2ce0. Checks:OK: 7. Indexed: yes.

Exports:DHRP_PortfolioHCAA_PortfolioHERC_PortfolioHRP_Portfolio

Dependencies:clusterfastcluster