Building Diversified Portfolios that Outperform Out of Sample

Marcos López de Prado · 2016 · The Journal of Portfolio Management

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Hierarchical risk parity: cluster assets and allocate recursively, avoiding covariance-matrix inversion.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: LFT
Data needed: Daily bars Set what data you have
Themes: Risk & portfolio
Assets: Equities
Market: Global

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@article{lopezdeprado2016building,
  author = {López de Prado, Marcos},
  title = {{Building Diversified Portfolios that Outperform Out of Sample}},
  journal = {The Journal of Portfolio Management},
  year = {2016},
  doi = {10.3905/jpm.2016.42.4.059}
}

López de Prado, M. (2016). Building Diversified Portfolios that Outperform Out of Sample. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.2016.42.4.059