| Name : R-HierPortfolios
| |
| Version : 1.0.1
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp156.1.1
| Date : 2024-09-10 01:40:48
|
| Group : Development/Libraries/Other
| Source RPM : R-HierPortfolios-1.0.1-lp156.1.1.src.rpm
|
| Size : 1.05 MB
| |
| Packager : https://www_suse_com/
| |
| Summary : Hierarchical Risk Clustering Portfolio Allocation Strategies
|
Description :
Machine learning hierarchical risk clustering portfolio allocation
strategies. The implemented methods are: Hierarchical risk parity (De
Prado, 2016) < DOI: 10.3905/jpm.2016.42.4.059>. Hierarchical
clustering-based asset allocation (Raffinot, 2017) < DOI:
10.3905/jpm.2018.44.2.089>. Hierarchical equal risk contribution
portfolio (Raffinot, 2018) < DOI: 10.2139/ssrn.3237540>. A Constrained
Hierarchical Risk Parity Algorithm with Cluster-based Capital
Allocation (Pfitzingera and Katzke, 2019)
< https://www.ekon.sun.ac.za/wpapers/2019/wp142019/wp142019.pdf>.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.6/x86_64 |
