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hcaa

Subject

Section titled “Subject”

Portfolio Construction and Risk

Why This Module Exists

Section titled “Why This Module Exists”

Allocates capital by hierarchy to reduce concentration and covariance-estimation fragility.

Mathematical Foundations

Section titled “Mathematical Foundations”

Cluster Variance

Section titled “Cluster Variance”

σC2=wCTΣCwC\sigma_C^2=w_C^T\Sigma_C w_C

Recursive Split

Section titled “Recursive Split”

wleft,wright∝1σleft2,1σright2w_{left},w_{right}\propto\frac{1}{\sigma_{left}^2},\frac{1}{\sigma_{right}^2}

Usage Examples

Section titled “Usage Examples”

Rust

Section titled “Rust”

Fit HCAA allocator

Section titled “Fit HCAA allocator”
use openquant::hcaa::HierarchicalClusteringAssetAllocation;


let mut hcaa = HierarchicalClusteringAssetAllocation::new();
let w = hcaa.allocate(&prices)?;

API Reference

Section titled “API Reference”

Rust API

Section titled “Rust API”
  • HierarchicalClusteringAssetAllocation
  • HcaaError

Implementation Notes

Section titled “Implementation Notes”
  • Cluster linkage choices influence allocations.
  • Use with robust codependence distances when possible.