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>.
| Version: | 1.0.1 |
| Depends: | R (≥ 3.6.0) |
| Imports: | fastcluster, cluster |
| Published: | 2024-08-18 |
| DOI: | 10.32614/CRAN.package.HierPortfolios |
| Author: | Carlos Trucios 
[aut, cre],
Moon Jun Kwon [aut],
São Paulo Research Foundation (FAPESP), grant 2022/09122-0 [fnd],
Programa de Incentivo a Novos Docentes da UNICAMP (PIND), grant 2525/23
[fnd] |
| Maintainer: | Carlos Trucios <ctrucios at unicamp.br> |
| BugReports: | https://github.com/ctruciosm/HierPortfolios/issues |
| License: | GPL-2 |
| URL: | https://github.com/ctruciosm/HierPortfolios |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | HierPortfolios results |
Documentation:
| Reference manual: | HierPortfolios.pdf |
Downloads:
| Package source: | HierPortfolios_1.0.1.tar.gz |
| Windows binaries: | r-devel: HierPortfolios_1.0.1.zip, r-release: HierPortfolios_1.0.1.zip, r-oldrel: HierPortfolios_1.0.1.zip |
| macOS binaries: | r-release (arm64): HierPortfolios_1.0.1.tgz, r-oldrel (arm64): HierPortfolios_1.0.1.tgz, r-release (x86_64): HierPortfolios_1.0.1.tgz, r-oldrel (x86_64): HierPortfolios_1.0.1.tgz |
| Old sources: | HierPortfolios archive |
Linking:
Please use the canonical form https://CRAN.R-project.org/package=HierPortfolios to link to this page.