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robertmartin8 / PyPortfolioOpt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
https://pyportfolioopt.readthedocs.io/
MIT License
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Feature request: Hierarchical Equal Risk Contribution #391

Open iron-marshal opened 2 years ago

iron-marshal commented 2 years ago

Is your feature request related to a problem? An upgrade to the HRP (Hierarchical Risk Parity) implementation

Describe the feature you'd like An implementation of Hierarchical Equal Risk Contribution, which addresses some of the shortfalls with HRP, as shown in the link (which itself contains links to previous articles on the topic) and based on the work of Thomas Raffinot.

https://gmarti.gitlab.io/qfin/2020/03/22/herc-part-i-implementation.html

robertmartin8 commented 2 years ago

I'd love to have this in the library (and in general there's lots to be improved about the HRP implementation), but I don't personally have the bandwidth. If anyone wants to contribute code, I'd be more than happy to merge a PR.