Asset Allocation - Hierarchical Risk Parity

This example presents the full workflow to perform hierarchical risk parity asset allocation proposed by Lopez de Prado Marcos.

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.