This is a summary of links featured on Quantocracy on Monday, 06/22/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Portfolio Optimisation with MlFinLab: Hierarchical Risk Parity [Hudson and Thames]In 2016, Dr. Marcos Lopez de Prado introduced the Hierarchical Risk Parity (HRP) algorithm for portfolio optimization. Prior to this, Harry Markowitzs Modern Portfolio Theory (MPT) was used as an industry-wide benchmark for portfolio optimization. MPT was an amazing accomplishment in the field of portfolio optimization and risk management, earning Harry Markowitz a Nobel Prize for his work.
