HRP_Portfolio {HierPortfolios} | R Documentation |
Performs the Hierarchical Risk Parity portfolio proposed strategy by De Prado (2016). Several linkage methods for the hierarchical clustering can be used, by default the "single" linkage is used.
HRP_Portfolio(covar, linkage = "single", graph = FALSE)
covar |
Covariance matrix of returns. The covariance matrix will be transformed into correlation matrix and then into a distance matrix. |
linkage |
Linkage method used in the hierarchical clustering. Allowed options are "single", "complete", "average" or "ward". Default option is "single". |
graph |
To plot de dendrogram set this value to TRUE. By default this value is equal to FALSE. |
portfolio weights
Carlos Trucios
De Prado, Marcos Lopez. "Building diversified portfolios that outperform out of sample." The Journal of Portfolio Management 42.4 (2016): 59-69.
HCAA_Portfolio
, HERC_Portfolio
and DHRP_Portfolio
covar <- cov(mldp_returns)
HRP_Portfolio(covar)