Hierarchical Clustering Based Asset Allocation

  title={Hierarchical Clustering Based Asset Allocation},
  author={Thomas Raffinot},
This article proposes a hierarchical clustering-based asset allocation method, which uses graph theory and machine learning techniques. Hierarchical clustering refers to the formation of a recursive clustering, suggested by the data, not defined a priori. Several hierarchical clustering methods are presented and tested. Once the assets are hierarchically clustered, the authors compute a simple and efficient capital allocation within and across clusters of assets, so that many correlated assets… CONTINUE READING


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