R/Finance 2013



This is a support page for the lighting talk I'm giving at the R/Finance 2013 conference. I will be speaking about "Portfolio Allocation with Cluster Risk Parity". The Cluster Risk Parity portfolio allocation method is a new heuristic optimization procedure that was developed by David Varadi at CSS Analytics.

The main focus of clustering portfolio allocation is diversification. If you objective is to create a portfolio that distributes risk equally within clusters and across clusters (i.e. diversify you risk bets) than you should use clustering portfolio allocation method.

Here are the support documents:

References:
Systematic Investor blog CSS Analytics blog



To reproduce the charts for my presentation, please execute following R code:

###############################################################################
# Load Systematic Investor Toolbox (SIT)
###############################################################################
con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb'))
    source(con)
close(con)

# Load supporting R code for R/Finance 2013
con=url('http://www.systematicportfolio.com/rfinance2013.r')
    source(con)
close(con)

    #*****************************************************************
    # Examples
    #*****************************************************************
    
    # Weights and Risk Contributions for Cluster Risk Parity portfolio
    bt.cluster.risk.parity.weights.test()
    
    # Back test for 10 Major Asset Classes
    bt.cluster.risk.parity.10.major.assets()

    # Back test for stocks in Dow 30 index
    bt.cluster.risk.parity.10.major.assets()