Compute the hrp allocations and the cla allocations

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Reference no: EM131926818

Problem

Using the clustered covariance matrix V from exercise 1:

(a) Compute the HRP allocations.

(b) Compute the CLA allocations.

Exercise 1

Given the PnL series on N investment strategies:

(a) Align them to the average frequency of their bets (e.g., weekly observations for strategies that trade on a weekly basis).

(b) Compute the covariance of their returns, V.

(d) Plot the clustered correlation matrix of the N strategies.

Reference no: EM131926818

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