POportfoliooptimizer
Portfolio Optimization

Hierarchical Risk Parity Portfolio

Changed on

Compute the asset weights of the hierarchical risk parity portfolio, optionally subject to:

  • Minimum and maximum weights constraints
  • Minimum and maximum portfolio exposure constraints

References

post/portfolios/optimization/hierarchical-risk-parity

Request

  • Base URL
    https://api.portfoliooptimizer.io/v1
  • URL
    https://api.portfoliooptimizer.io/v1/portfolios/optimization/hierarchical-risk-parity
  • Auth
    API key in header X-API-Key

Request body

assetsinteger required

The number of assets

clusteringMethod'singleLinkage' | 'averageLinkage' | 'completeLinkage' | 'wardLinkage'

The hierarchical clustering method to use

clusteringOrdering'r-hclust' | 'optimal'

The order to impose on the hierarchical clustering tree leaves

Response

OK

assetsWeightsnumber[] required

assetsWeights[i] is the weight of the asset i in the portfolio, in percentage

Changes