A constrained hierarchical risk parity algorithm with cluster-based capital allocation
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References listed on IDEAS
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Cited by:
- MohammadAmin Fazli & Parsa Alian & Ali Owfi & Erfan Loghmani, 2021. "RPS: Portfolio Asset Selection using Graph based Representation Learning," Papers 2111.15634, arXiv.org.
- Peter Cotton, 2024. "Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios," Papers 2411.05807, arXiv.org.
- Illya Barziy & Marcin Chlebus, 2020. "HRP performance comparison in portfolio optimization under various codependence and distance metrics," Working Papers 2020-21, Faculty of Economic Sciences, University of Warsaw.
- Yukari Shirota & Basabi Chakraborty, 2022. "Amplitude-Based Time Series Data Clustering Method," Gakushuin Economic Papers, Gakushuin University, Faculty of Economics, vol. 59(2), pages 127-140.
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More about this item
Keywords
Risk Parity; Diversification; Portfolio Optimisation; Clustering;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2019-11-18 (Computational Economics)
- NEP-ORE-2019-11-18 (Operations Research)
- NEP-RMG-2019-11-18 (Risk Management)
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