Package: HierPortfolios 1.1.0

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>. Hierarchical Risk Budgeting (Koumou, 2024) <doi:10.3905/jfds.2024.1.156>.

Authors:Carlos Trucios [aut, cre], Moon Jun Kwon [aut], São Paulo Research Foundation, grants 2022/09122-0, 2025/06131-7 and 2025/08502-2 [fnd], Programa de Incentivo a Novos Docentes da UNICAMP, grant 2525/23 [fnd]

HierPortfolios_1.1.0.tar.gz
HierPortfolios_1.1.0.zip(r-4.7-any)HierPortfolios_1.1.0.zip(r-4.6-any)HierPortfolios_1.1.0.zip(r-4.5-any)
HierPortfolios_1.1.0.tgz(r-4.6-any)HierPortfolios_1.1.0.tgz(r-4.5-any)
HierPortfolios_1.1.0.tar.gz(r-4.7-any)HierPortfolios_1.1.0.tar.gz(r-4.6-any)
HierPortfolios_1.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
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 5 scripts 429 downloads 5 exports 17 dependencies

Last updated from:eace1e86df. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK106
source / vignettesOK369
linux-releaseOK109
macos-releaseOK79
macos-oldrelOK136
windows-develOK104
windows-releaseOK71
windows-oldrelOK56
wasm-releaseOK148

Exports:DHRP_PortfolioHCAA_PortfolioHERC_PortfolioHRB_PortfolioHRP_Portfolio

Dependencies:backportscheckmateclarabelcliclusterCVXRfastclustergmphighslatticeMatrixosqpRcppRcppEigenS7scsslam