Package: HierPortfolios
Type: Package
Title: Hierarchical Risk Clustering Portfolio Allocation Strategies
Version: 1.1.0
Date: 2026-10-12
Authors@R: c(
  person(given = "Carlos", family = "Trucios", role = c("aut", "cre"), email = "ctrucios@unicamp.br", comment = c(ORCID = "0000-0001-8746-8877")),
  person("Moon Jun Kwon", role = "aut"),
  person("São Paulo Research Foundation (FAPESP), grants 2022/09122-0, 2025/06131-7 and 2025/08502-2",  role = "fnd"),
  person("Programa de Incentivo a Novos Docentes da UNICAMP (PIND), grant 2525/23",  role = "fnd"))
Description: 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>.
License: GPL-2
Depends: R (>= 3.6.0)
Imports: fastcluster, cluster, CVXR
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.3.2
URL: https://github.com/ctruciosm/HierPortfolios
BugReports: https://github.com/ctruciosm/HierPortfolios/issues
Config/pak/sysreqs: cmake libgmp3-dev make pkg-config libclang-dev
Repository: https://ctruciosm.r-universe.dev
Date/Publication: 2026-10-12 21:56:54 UTC
RemoteUrl: https://github.com/ctruciosm/hierportfolios
RemoteRef: HEAD
RemoteSha: eace1e86df8c1b7ddc560c62f64442bd776315e0
NeedsCompilation: no
Packaged: 2026-10-20 11:50:47 UTC; root
Author: Carlos Trucios [aut, cre] (ORCID:
    <https://orcid.org/0000-0001-8746-8877>),
  Moon Jun Kwon [aut],
  São Paulo Research Foundation (FAPESP), grants 2022/09122-0,
    2025/06131-7 and 2025/08502-2 [fnd],
  Programa de Incentivo a Novos Docentes da UNICAMP (PIND), grant 2525/23
    [fnd]
Maintainer: Carlos Trucios <ctrucios@unicamp.br>