Jaeger, Markus; Krügel, Stephan; Papenbrock, Jochen; … - 2021
In this article, the authors present a conceptual framework named 'Adaptive Seriational Risk Parity' (ASRP) to extend Hierarchical Risk Parity (HRP) as an asset allocation heuristic. The first step of HRP (quasi-diagonalization) determining the hierarchy of assets is required for the actual...