Package: HierPortfolios
Type: Package
Title: Hierarchical Risk Clustering Portfolio Allocation Strategies
Version: 1.0.2
Date: 2025-09-12
Authors@R: c(
  person(given = "Carlos", family = "Trucios", role = c("aut", "cre"), email = "ctrucios@unicamp.br", comment = c(ORCID = "0000-0001-8746-8877")),
  person("Moon Jun Kwon", role = "aut"),
  person("São Paulo Research Foundation (FAPESP), grant 2022/09122-0",  role = "fnd"),
  person("Programa de Incentivo a Novos Docentes da UNICAMP (PIND), grant 2525/23",  role = "fnd"))
Description: Machine learning hierarchical risk clustering portfolio allocation strategies. 
 The implemented methods are:
  Hierarchical risk parity (De Prado, 2016) <DOI: 10.3905/jpm.2016.42.4.059>.
  Hierarchical clustering-based asset allocation (Raffinot, 2017)  
  <DOI: 10.3905/jpm.2018.44.2.089>.
  Hierarchical equal risk contribution portfolio (Raffinot, 2018)
  <DOI: 10.2139/ssrn.3237540>.
  A Constrained Hierarchical Risk Parity Algorithm with Cluster-based Capital Allocation (Pfitzingera and Katzke, 2019)
  <https://www.ekon.sun.ac.za/wpapers/2019/wp142019/wp142019.pdf>.
License: GPL-2
Depends: R (>= 3.6.0)
Imports: fastcluster, cluster
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.3.2
URL: https://github.com/ctruciosm/HierPortfolios
BugReports: https://github.com/ctruciosm/HierPortfolios/issues
NeedsCompilation: no
Packaged: 2025-09-12 14:43:06 UTC; ctrucios
Author: Carlos Trucios [aut, cre] (ORCID:
    <https://orcid.org/0000-0001-8746-8877>),
  Moon Jun Kwon [aut],
  São Paulo Research Foundation (FAPESP), grant 2022/09122-0 [fnd],
  Programa de Incentivo a Novos Docentes da UNICAMP (PIND), grant 2525/23
    [fnd]
Maintainer: Carlos Trucios <ctrucios@unicamp.br>
Repository: CRAN
Date/Publication: 2025-09-12 15:00:22 UTC
Built: R 4.4.3; ; 2025-11-26 02:31:05 UTC; windows
