Publikationstyp: Working Paper – Gutachten – Studie
Titel: 'Adaptive seriational risk parity' and other extensions for heuristic portfolio construction using machine learning and graph theory
Autor/-in: Jaeger, Markus
Krügel, Stephan
Papenbrock, Jochen
Schwendner, Peter
et. al: No
DOI: 10.2139/ssrn.3806714
Umfang: 18
Erscheinungsdatum: 18-Mär-2021
Verlag / Hrsg. Institution: SSRN
Sprache: Englisch
Schlagwörter: Hierarchial risk parity; Hierarchial structure; Portfolio allocation; Seriation
Fachgebiet (DDC): 332.6: Investition
Zusammenfassung: In this article, the authors present a conceptual framework named 'Adaptive Seriational Risk Parity' (ASRP) to extend Hierarchical Risk Parity (HRP) as an asset allocation heuristic. The first step of HRP (quasi-diagonalization) determining the hierarchy of assets is required for the actual allocation in the second step of HRP (recursive bisectioning). In the original HRP scheme, this hierarchy is found using the single-linkage hierarchical clustering of the correlation matrix, which is a static tree-based method. The authors of this paper compare the performance of the standard HRP with other static and also adaptive tree-based methods, but also seriation-based methods that do not rely on trees. Seriation is a broader concept allowing to reorder the rows or columns of a matrix to best express similarities between the elements. Each discussed variation leads to a different time series reflecting portfolio performance using a 20-year backtest of a multi-asset futures universe. An unsupervised representation learning based on this time series data creates a taxonomy that groups the strategies in high correspondence to the structure of the various types of ASRP. The performance analysis of the variations shows that most of the static tree-based alternatives of HRP outperform the single linkage clustering used in HRP on a risk-adjusted basis. Adaptive tree methods show mixed results and most generic seriation-based approaches underperform.
URI: https://digitalcollection.zhaw.ch/handle/11475/22352
Lizenz (gemäss Verlagsvertrag): Lizenz gemäss Verlagsvertrag
Departement: School of Management and Law
Organisationseinheit: Institut für Wealth & Asset Management (IWA)
Enthalten in den Sammlungen:Publikationen School of Management and Law

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