Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios
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arXiv
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866913575161823232 |
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| author | Cotton, Peter |
| author_facet | Cotton, Peter |
| contents | Despite many attempts to make optimization-based portfolio construction in the spirit of Markowitz robust and approachable, it is far from universally adopted. Meanwhile, the collection of more heuristic divide-and-conquer approaches was revitalized by Lopez de Prado where Hierarchical Risk Parity (HRP) was introduced. This paper reveals the hidden connection between these seemingly disparate approaches. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_05807 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios Cotton, Peter Portfolio Management Mathematical Finance 91G10 J.4 Despite many attempts to make optimization-based portfolio construction in the spirit of Markowitz robust and approachable, it is far from universally adopted. Meanwhile, the collection of more heuristic divide-and-conquer approaches was revitalized by Lopez de Prado where Hierarchical Risk Parity (HRP) was introduced. This paper reveals the hidden connection between these seemingly disparate approaches. |
| title | Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios |
| topic | Portfolio Management Mathematical Finance 91G10 J.4 |
| url | https://arxiv.org/abs/2411.05807 |