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Asset Allocation - Hierarchical Risk Parity

version 1.0.0 (210 KB) by 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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Updated 04 Mar 2019

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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.

Cite As

MathWorks Computational Finance Team (2020). Asset Allocation - Hierarchical Risk Parity (https://www.mathworks.com/matlabcentral/fileexchange/70186-asset-allocation-hierarchical-risk-parity), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (6)

kang dong

Emilio Llorente-Cano

It does. I guess Jingjing Li means Matlab code to implement the weight boundaries. The authors use R: https://github.com/jpfitzinger

The article below entitled “A constrained hierarchical risk parity algorithm” proposes a method to impose weight constraints to individual assets or group of assets on the HRP optimization.

https://ideas.repec.org/p/sza/wpaper/wpapers328.html

I hope this helps!

Andre Viana

Good work.

Jingjing Li

What about if I want to add weight constraints?

Emilio Llorente-Cano

MATLAB Release Compatibility
Created with R2018b
Compatible with R2018b to any release
Platform Compatibility
Windows macOS Linux