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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.


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 (2021). 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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