Millea, Adrian; Edalat, Abbas - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-16
We devise a hierarchical decision-making architecture for We devise a hierarchical decision-making architecture for … number of discrete actions, 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 …