%0 Journal Article
%T Evaluating Hierarchical Equal Risk Contribution Portfolios in the Chinese Stock Market
%A Weige Huang
%A Xiang Gao
%J Journal of Mathematical Finance
%P 179-195
%@ 2162-2442
%D 2022
%I Scientific Research Publishing
%R 10.4236/jmf.2022.121011
%X This paper investigates the usefulness of the Hierarchical Equal Risk Contribution algorithm to exploit correlation structure in China¡¯s equity market over 2001-2020. By running a horse race of different combinations of metrics and linkages, we demonstrate that the winner strategy always beats traditional portfolio construction techniques. Better-performing risk-based hierarchy strategies vary with stock-sorting methods by size, mean return, volatility, and Sharpe ratio. However, our treatment results in extremely imbalanced asset allocation, implying that we capture information other than the standard Chinese industrial classification.
%K Hierarchical Equal Risk Contribution
%K Machine Learning
%K Hierarchical Risk Parity
%K Asset Allocation
%K Critical Line Algorithm
%K Inverse-Variance Portfolio
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=115324