Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios

Autor:	Cotton, Peter
Rok vydání:	2024
Předmět:	Quantitative Finance - Portfolio Management Quantitative Finance - Mathematical Finance 91G10 J.4
Druh dokumentu:	Working Paper
Popis:	Despite many attempts to make optimization-based portfolio construction in the spirit of Markowitz robust and approachable, it is far from universally adopted. Meanwhile, the collection of more heuristic divide-and-conquer approaches was revitalized by Lopez de Prado where Hierarchical Risk Parity (HRP) was introduced. This paper reveals the hidden connection between these seemingly disparate approaches.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2411.05807 Zobrazit plný text záznamu View this record from Arxiv