HierPortfolios
Hierarchical Risk Clustering Portfolio Allocation Strategies
Machine learning hierarchical risk clustering portfolio allocation strategies. The implemented methods are: Hierarchical risk parity (De Prado, 2016) <DOI: 10.3905/jpm.2016.42.4.059>. Hierarchical clustering-based asset allocation (Raffinot, 2017) <DOI: 10.3905/jpm.2018.44.2.089>. Hierarchical equal risk contribution portfolio (Raffinot, 2018) <DOI: 10.2139/ssrn.3237540>. A Constrained Hierarchical Risk Parity Algorithm with Cluster-based Capital Allocation (Pfitzingera and Katzke, 2019) <https://www.ekon.sun.ac.za/wpapers/2019/wp142019/wp142019.pdf>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.2 |
rolling source/ R- | HierPortfolios_1.0.2.tar.gz |
1.0 MiB |
1.0.2 |
rolling linux/jammy R-4.5 | HierPortfolios_1.0.2.tar.gz |
1.0 MiB |
1.0.2 |
rolling linux/noble R-4.5 | HierPortfolios_1.0.2.tar.gz |
1.0 MiB |
1.0.2 |
latest source/ R- | HierPortfolios_1.0.2.tar.gz |
1.0 MiB |
1.0.2 |
latest linux/jammy R-4.5 | HierPortfolios_1.0.2.tar.gz |
1.0 MiB |
1.0.2 |
latest linux/noble R-4.5 | HierPortfolios_1.0.2.tar.gz |
1.0 MiB |
1.0.2 |
2026-04-23 source/ R- | HierPortfolios_1.0.2.tar.gz |
1.0 MiB |
1.0.2 |
2026-04-09 windows/windows R-4.5 | HierPortfolios_1.0.2.zip |
1.0 MiB |
1.0.1 |
2025-04-20 source/ R- | HierPortfolios_1.0.1.tar.gz |
1.0 MiB |