Antonov’s latest paper, co-authored with Lopez de Prado and Adia’s co-head of quant R&D Alexander Lipton, compares HRP with the original Markowitz method and finds that it produces more robust risk ...
Alexandre Antonov, Alexander Lipton and Marcos Lopez de Prado compare and contrast two portfolio allocation methods: the classical Markowitz approach and the hierarchical risk parity (HRP) approach.
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