Jain, Prayut; Jain, Shashi - In: Risks : open access journal 7 (2019) 3/74, pp. 1-27
The Hierarchical risk parity (HRP) approach of portfolio allocation, introduced by Lopez de Prado (2016), applies graph theory and machine learning to build a diversified portfolio. Like the traditional risk-based allocation methods, HRP is also a function of the estimate of the covariance...