HRP performance comparison in portfolio optimization under various codependence and distance metrics

Illya Barziy, Marcin Chlebus

Year of publication:	2020
Authors:	Barziy, Illya ; Chlebus, Marcin
Publisher:	Warsaw : University of Warsaw, Faculty of Economic Sciences
Subject:	Hierarchical Risk Parity \| portfolio optimization \| ETF \| hierarchical structure \| clustering \| backtesting \| distance metrics \| risk management \| machine learning \| Portfolio-Management \| Portfolio selection \| Risikomanagement \| Risk management \| Theorie \| Theory \| Künstliche Intelligenz \| Artificial intelligence \| Risikomaß \| Risk measure

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