In this paper, we construct a pipeline to investigate heuristic diversification strategies in asset allocation. We use machine learning concepts ("explainable AI") to compare the robustness of different strategies and back out implicit rules for decision making.In a first step, we augment the...

In this paper we present a novel and highly flexible method to simulate correlation matrices of financial markets. It produces realistic outcomes regarding stylized facts of empirical correlation matrices and requires no asset return input data. The matrix generation is based on a...

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...

In this paper, the authors construct a pipeline to benchmark Hierarchical Risk Parity (HRP) relative to Equal Risk Contribution (ERC) as examples of diversification strategies allocating to liquid multi-asset futures markets with dynamic leverage ("volatility target"). The authors use...

This primer provides a comprehensive overview of the applications of Artificial Intelligence (AI) and Machine Learning (ML) in the financial services industry. It covers the various use cases of AI and ML, including fraud detection, customer behavior analysis, loan underwriting, investment...