Hierarchical Risk Parity
Hierarchical Risk Parity (HRP) is a risk-based portfolio optimization algorithm, which has been shown to generate diversified portfolios with robust out-of-sample properties without the need for a positive-definite return covariance matrix (Source: https://ideas.repec.org/p/sza/wpaper/wpapers328.html)
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from empyrial import empyrial, Engine
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​
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portfolio = Engine(
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start_date = "2018-01-01",
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benchmark = ["SPY"], #SPY is set by default
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portfolio = ["BABA", "PDD", "KO", "AMD","^IXIC"],
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optimizer = "HRP"
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)
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​
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empyrial(portfolio)
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