Asset Allocation - Hierarchical Risk Parity
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.
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.
Posts
No comments