[R] Introduction to the Hierarchical Risk Parity Algorithm (HRP) for Machine Learning Asset Allocation


Post – https://hudsonthames.org/an-introduction-to-the-hierarchical-risk-parity-algorithm/

While implementing the HRP algorithm as part of an open-source package mlfinlab, I found a lack of a clear and comprehensive post about the algorithm's working and its comparison with other allocation algorithms.

So I decided to do a blog post with a step by step explanation of the underlying math, the intuition behind the different steps in the algorithm and finally a detailed comparison of its performance with previous portfolio allocation algorithms.

Do give it a look and let me know your thoughts on the article!

submitted by /u/aditya1702
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Source: Reddit Machine Learning

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