Asset Allocation - Hierarchical Risk Parity

This example presents the full workflow to perform hierarchical risk parity asset allocation proposed by Lopez de Prado Marcos.
884.0 次下载
更新时间 2019/3/4

查看许可证

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.

引用格式

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. 检索来源 .

MATLAB 版本兼容性
创建方式 R2018b
与 R2018b 及更高版本兼容
平台兼容性
Windows macOS Linux
类别
Help CenterMATLAB Answers 中查找有关 Risk Management Toolbox 的更多信息

Community Treasure Hunt

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

Start Hunting!
版本 已发布 发行说明
1.0.0