Asset Allocation - Hierarchical Risk Parity

版本 1.0.0 (210.2 KB) 作者: MathWorks Computational Finance Team
This example presents the full workflow to perform hierarchical risk parity asset allocation proposed by Lopez de Prado Marcos.

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更新时间 2019/3/4

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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.

引用格式

MathWorks Computational Finance Team (2022). 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
兼容 R2018b 及更高版本
平台兼容性
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