Essays about: "hierarchical risk parity"

Found 3 essays containing the words hierarchical risk parity.

  1. 1. Hierarchical Portfolio Allocation with Community Detection

    University essay from KTH/Matematik (Avd.)

    Author : Kiar Fatah; Taariq Nazar; [2022]
    Keywords : Portfolio Allocation; Hierarchical Clustering; Graph Theory; Community Detection; Modern Portfolio Theory; Portföljallokering; Hierarkisk klustring; Grafteori; Community Detection; Modern Portföljteori;

    Abstract : Traditionally, practitioners use modern portfolio theory to invest optimally. Its appeal lies in its mathematical simplicity and elegance. However, despite its beauty, the theory it is plagued with many problems, which are in combination called the Markowitz curse. READ MORE

  3. 2. Hierarchical Clustering To Improve Portfolio Tail Risk Characteristics

    University essay from Lunds universitet/Matematisk statistik

    Author : Adam Eidenvall; [2021]
    Keywords : Hierarchical Clustering; Asset Allocation; Portfolio Construction; Graph Theory; Machine Learning; Risk Parity; Regime Shift; Bootstrapping; Walk Forward; Mathematics and Statistics;

    Abstract : Many agree that estimating portfolio risks has better estimation possibilities, than estimations on returns. Therefore investors attempts to construct better, more efficient riskmanaged portfolios by diversifying portfolios through factors rather than traditional asset classes. READ MORE

  4. 3. Hierarchical Clustering in Risk-Based Portfolio Construction

    University essay from KTH/Matematisk statistik

    Author : Natasha Nanakorn; Elin Palmgren; [2021]
    Keywords : Portfolio construction; asset allocation; risk-based asset allocation; hierarchical clustering; agglomerative clustering; hierarchical risk parity; risk; volatility; Portföljallokering; portföljhantering; portföljmetoder; riskbaserad portföljallokering; hierarkisk klustring; agglomerativ klustring; risk; volatilitet;

    Abstract : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. READ MORE