Asset Allocation - Hierarchical Risk Parity

This example presents the full workflow to perform hierarchical risk parity asset allocation proposed by Lopez de Prado Marcos.
Updated 4 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 (2024). Asset Allocation - Hierarchical Risk Parity (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2018b
Compatible with R2018b and later releases
Platform Compatibility
Windows macOS Linux
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