This second release is of this R package is already available on CRAN.

Four hierarchical portfolio allocation strategies are implemented, namely:

- Hierarchical Risk Parity (De Prado, 2016)
- Hierarchical Clustering-Based Asset Allocation (Raffinot, 2017)
- Hierarchical Equal Risk Controbution (Raffinot, 2018)
- A Constrained Hierarchical Risk Parity Algorithm with Cluster-based Capital Allocation (Pfitzingera and Katzke, 2019)

Each strategy was implemented in an easy-to-use function:
`HRP_Portfolio`

, `HACC_Portfolio`

,
`HERC_Portfolio`

and `DHRP_Portfolio`

.

- De Prado, M. L. (2016). Building diversified portfolios that
outperform out of sample.
*The Journal of Portfolio Management*, 42(4), 59-69. - Raffinot, T. (2017). Hierarchical clustering-based asset allocation.
*The Journal of Portfolio Management*, 44(2), 89-99. - Raffinot, T. (2018). The hierarchical equal risk contribution
portfolio.
*Available at SSRN*3237540. - Pfitzingera, J. and Katzke, N. (2019). A Constrained Hierarchical
Risk Parity Algorithm with Cluster-based Capital Allocation.
*Available at*

To install the latest version of this package use the following commands:

install.packages(“devtools”) devtools::install_github(“ctruciosm/HierPorfolios”)