Asset Allocation - Hierarchical Risk Parity

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

Visualizza la licenza

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.

Cita come

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. Recuperato .

Compatibilità della release di MATLAB
Creato con R2018b
Compatibile con R2018b e release successive
Compatibilità della piattaforma
Windows macOS Linux
Categorie
Scopri di più su Risk Management Toolbox in Help Center e MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Versione Pubblicato Note della release
1.0.0