pfopt_hrp: 1 tool.
Inputs, limits and outputs are described in Fincept Portfolio Optimizer. Full schemas:
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Hierarchical risk parity: cluster the assets by correlation distance (single, complete, average, weighted, centroid, median or Ward linkage), order them along the tree and split risk by recursive bisection; returns the weights, performance, linkage, dendrogram and clustered correlation heatmap.
pfopt_hrp: 1 tool.
| Tool | What it does | Notes |
|---|---|---|
pfopt_hrp | Hierarchical risk parity weights from a price (or returns) history, or from a covariance matrix alone: the assets are clustered by correlation distance, ordered along the tree and risk is split between sub-clusters by inverse variance, needing no expected returns and no matrix inversion. |
fincept_describe_tool.