Hierarchical Risk Parity Portfolio

Compute the asset weights of the hierarchical risk parity portfolio, optionally subject to:

• Minimum and maximum weights constraints
• Minimum and maximum portfolio exposure constraints

References

• Lopez de Prado, M. (2016). Building diversified portfolios that outperform out-of-sample. Journal of Portfolio Management, 42(4), 59–69
• Johann Pfitzinger & Nico Katzke, 2019. A constrained hierarchical risk parity algorithm with cluster-based capital allocation. Working Papers 14/2019, Stellenbosch University, Department of Economics