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1. HRP performance comparison in portfolio optimization under various codependence and distance metrics

   Author: Barziy, Illya; Chlebus, Marcin

   Published: 2020

   Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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   Kiel: ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

   Location:

   ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

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   VS 427

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   Source:	Union catalogues
   Language:	English
   Media type:	Book
   Format:	Online
   Series:	Working papers / Faculty of Economic Sciences, University of Warsaw ; no. 2020, 21 = 327
   Subjects:	Hierarchical Risk Parity; portfolio optimization; ETF; hierarchical structure; clustering; backtesting; distance metrics; risk management; machine learning
   Scope:	1 Online-Ressource (circa 35 Seiten), Illustrationen