The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.

HierPortfolios

This second release is of this R package is already available on CRAN.

Four hierarchical portfolio allocation strategies are implemented, namely:

• Hierarchical Risk Parity (De Prado, 2016)
• Hierarchical Clustering-Based Asset Allocation (Raffinot, 2017)
• Hierarchical Equal Risk Controbution (Raffinot, 2018)
• A Constrained Hierarchical Risk Parity Algorithm with Cluster-based Capital Allocation (Pfitzingera and Katzke, 2019)

Each strategy was implemented in an easy-to-use function: HRP_Portfolio, HACC_Portfolio, HERC_Portfolio and DHRP_Portfolio.

References

• De Prado, M. L. (2016). Building diversified portfolios that outperform out of sample. The Journal of Portfolio Management, 42(4), 59-69.
• Raffinot, T. (2017). Hierarchical clustering-based asset allocation. The Journal of Portfolio Management, 44(2), 89-99.
• Raffinot, T. (2018). The hierarchical equal risk contribution portfolio. Available at SSRN 3237540.
• Pfitzingera, J. and Katzke, N. (2019). A Constrained Hierarchical Risk Parity Algorithm with Cluster-based Capital Allocation. Available at

Installation

To install the latest version of this package use the following commands:

install.packages(“devtools”) devtools::install_github(“ctruciosm/HierPorfolios”)

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.