Asset Allocation - Hierarchical Risk Parity

This example presents the full workflow to perform hierarchical risk parity asset allocation proposed by Lopez de Prado Marcos.
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Actualizado 4 mar 2019

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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.

Citar como

MathWorks Computational Finance Team (2024). Asset Allocation - Hierarchical Risk Parity (https://www.mathworks.com/matlabcentral/fileexchange/70186-asset-allocation-hierarchical-risk-parity), MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2018b
Compatible con cualquier versión desde R2018b
Compatibilidad con las plataformas
Windows macOS Linux
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Más información sobre Risk Management Toolbox en Help Center y MATLAB Answers.

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Versión Publicado Notas de la versión
1.0.0