A constrained hierarchical risk parity algorithm with cluster-based capital allocation
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References listed on IDEAS
- Tola, Vincenzo & Lillo, Fabrizio & Gallegati, Mauro & Mantegna, Rosario N., 2008.
"Cluster analysis for portfolio optimization,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 235-258, January.
- Vincenzo Tola & Fabrizio Lillo & Mauro Gallegati & Rosario N. Mantegna, 2005. "Cluster analysis for portfolio optimization," Papers physics/0507006, arXiv.org.
- Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
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Cited by:
- MohammadAmin Fazli & Parsa Alian & Ali Owfi & Erfan Loghmani, 2021. "RPS: Portfolio Asset Selection using Graph based Representation Learning," Papers 2111.15634, arXiv.org.
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More about this item
Keywords
Risk Parity; Diversification; Portfolio Optimisation; Clustering;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2019-11-18 (Computational Economics)
- NEP-ORE-2019-11-18 (Operations Research)
- NEP-RMG-2019-11-18 (Risk Management)
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