alloc_hierarchical: 4 tools.
| Tool | What it does | Notes |
|---|---|---|
alloc_hierarchical | Hierarchical clustering portfolio: HRP, HERC, HERC2 or NCO on a tree of the assets built from a codependence (correlation, Gerber, distance correlation, mutual information, tail dependence) and a linkage (single … ward, DBHT), allocating by one of 38 risk measures, with optional weight bounds. | |
alloc_clusters | Hierarchical clusters of the assets from a codependence and a linkage, with the number of clusters given or chosen by the two-difference gap statistic or the standardised silhouette. | |
alloc_codependence | The codependence matrix of the assets and the distance derived from it: Pearson, Spearman or Kendall correlation, Gerber statistic, absolute correlation, distance correlation, mutual information (distance = variation of information) or lower-tail dependence. | |
alloc_network | The assets’ network: edges of the minimum spanning tree or planar filtered graph of their codependence distances, each node’s degree, chosen centrality and hierarchical cluster, and the connection matrix (assets within walk_size edges) that network constraints use. |
fincept_describe_tool.