Package: HierPortfolios 1.0.2

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]

HierPortfolios_1.0.2.tar.gz
HierPortfolios_1.0.2.zip(r-4.7)HierPortfolios_1.0.2.zip(r-4.6)HierPortfolios_1.0.2.zip(r-4.5)
HierPortfolios_1.0.2.tgz(r-4.6-any)HierPortfolios_1.0.2.tgz(r-4.5-any)
HierPortfolios_1.0.2.tar.gz(r-4.7-any)HierPortfolios_1.0.2.tar.gz(r-4.6-any)
HierPortfolios_1.0.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
HierPortfolios/json (API)

# Install 'HierPortfolios' in R:
install.packages('HierPortfolios', repos = c('https://ctruciosm.r-universe.dev', 'https://cloud.r-project.org'))

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

Datasets:

On CRAN:

Conda:

3.74 score 11 stars 6 scripts 546 downloads 4 exports 2 dependencies

Last updated from:83807052d6. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK98
source / vignettesOK196
linux-release-x86_64OK94
macos-release-arm64OK80
macos-oldrel-arm64OK96
windows-develOK78
windows-releaseOK73
windows-oldrelOK46
wasm-releaseOK93

Exports:DHRP_PortfolioHCAA_PortfolioHERC_PortfolioHRP_Portfolio

Dependencies:clusterfastcluster