Kilian Axel Schäfer

Metzler Asset Management

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Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-Asset Multi-Factor Allocations

Chapter 9 in: Machine Learning and Asset Management, Emmanuel Jurczenko (ed.), Iste and Wiley, 2020, pp. 332-368
Number of pages: 33 Posted: 08 Jan 2020 Last Revised: 09 Nov 2020
Harald Lohre, Carsten Rother and Kilian Axel Schäfer
Robeco Quantitative Investments, Invesco and Metzler Asset Management
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Abstract:

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Multi-asset Multi-factor Investing, Diversification, Hierarchical Risk Parity, Tail Dependence