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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HierPortfolios.pdf |HierPortfolios.html✨
HierPortfolios/json (API)

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

Peer review:

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

Datasets:

On CRAN:

4.26 score 9 stars 3 scripts 322 downloads 4 exports 2 dependencies

Last updated 4 months agofrom:613f7a2ce0. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 08 2024
R-4.5-winOKNov 08 2024
R-4.5-linuxOKNov 08 2024
R-4.4-winOKNov 08 2024
R-4.4-macOKNov 08 2024
R-4.3-winOKNov 08 2024
R-4.3-macOKNov 08 2024

Exports:DHRP_PortfolioHCAA_PortfolioHERC_PortfolioHRP_Portfolio

Dependencies:clusterfastcluster