Millea, Adrian; Edalat, Abbas - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-16
(HRP) and Hierarchical Equal Risk Contribution (HERC) models with different hyperparameters, which all run in parallel, off …, representing low-level agents. For the low-level agents, we use a set of Hierarchical Risk Parity (HRP) and Hierarchical Equal Risk … Contribution (HERC) models with different hyperparameters, which all run in parallel, off-market (in a simulation). The information …