Portfolio allocation

Currently this module contains only five algorithms: Equal Risk Contribution (ERC), Hierarchical Risk Parity (HRP), Inverse Variance Portfolio (IVP), Maximum Diversified Portfolio (MDP), Minimum Variance Portfolio constrained (MVP) and unconstrained (MVP_uc).

The module contains also an object to roll these allocations algorithms (rolling_allocation).

Allocation algorithms

ERC(X[, w0, up_bound, low_bound])	Get weights of Equal Risk Contribution portfolio allocation.
HRP(X[, method, metric, low_bound, up_bound])	Get weights of the Hierarchical Risk Parity allocation.
IVP(X[, normalize, low_bound, up_bound])	Get weights of the Inverse Variance Portfolio allocation.
MDP(X[, w0, up_bound, low_bound])	Get weights of Maximum Diversified Portfolio allocation.
MVP(X[, normalize])	Get weights of the Minimum Variance Portfolio allocation.
MVP_uc(X[, w0, up_bound, low_bound])	Get weights of the Minimum Variance Portfolio under constraints.

Rolling object

rolling_allocation(f, X[, n, s, ret, drift])

Roll an algorithm of portfolio allocation.