Hierarchical Risk Parity

Hierarchical Risk Parity (HRP) is a risk-based portfolio optimization algorithm, which has been shown to generate diversified portfolios with robust out-of-sample properties without the need for a positive-definite return covariance matrix (Source: https://ideas.repec.org/p/sza/wpaper/wpapers328.html)

from EigenLedger import portfolio_analysis, Engine

portfolio = Engine(
      start_date = "2018-01-01",
      benchmark = ["SPY"], #SPY is set by default
      portfolio = ["BABA", "PDD", "KO", "AMD","^IXIC"],
      optimizer = "HRP"
)

portfolio_analysis(portfolio)