Asset Allocation - Hierarchical Risk Parity

버전 1.0.0 (210 KB) 작성자: MathWorks Computational Finance Team
This example presents the full workflow to perform hierarchical risk parity asset allocation proposed by Lopez de Prado Marcos.

다운로드 수: 801

업데이트 날짜: 2019/3/4

라이선스 보기

This example will walk you through the steps to build an asset allocation strategy based on hierarchical risk parity (HRP). You will:
- Learn how to use statistics and machine learning techniques to cluster assets into a hierarchical tree structure.
- Understand how to develop allocation strategies based on the tree structure and risk parity concept through recursion.
- Compare its result with Mean-Variance asset allocation.

인용 양식

MathWorks Computational Finance Team (2022). Asset Allocation - Hierarchical Risk Parity (, MATLAB Central File Exchange. 검색됨 .

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개발 환경: R2018b
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