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ArticleHierarchical Clustering Based Asset Allocation

Thomas Raffinot2016

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Hierarchical Clustering Based Asset Allocation

Thomas Raffinot

128 citations·0/0 files stored·The Journal of Portfolio Management

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1999Hierarchical structure in financial markets 1972More Is Different: Broken symmetry and the nature of the hierarchical structure of science.1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?2004Honey, I Shrunk the Sample Covariance Matrix 2008Equity Portfolio Diversification 2005A tool for filtering information in complex systems

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2021A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets 2022A survey of the application of graph-based approaches in stock market analysis and prediction 2024Enhancing portfolio management using artificial intelligence: literature review 2020Beyond Risk Parity - A Machine Learning-based Hierarchical Risk Parity Approach on Cryptocurrencies 2018The Hierarchical Equal Risk Contribution Portfolio 2020

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Year2016

Typearticle

Published2016-01-01

VenueThe Journal of Portfolio Management

ISSN-L0095-4918

Languageen

Citations128

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.2840729

openalex_workW3124458696

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Network Models to Enhance Automated Cryptocurrency Portfolio Management

2019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification

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