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Difficulty: Hard
Category: portfolio_optimization
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Topics: hrp, hierarchical_risk_parity, portfolio_optimization, clustering, inverse_variance
Hierarchical Risk Parity (HRP) is a modern portfolio construction method that addresses the instability of traditional mean-variance optimization. It uses hierarchical clustering to group assets based on their correlation structure, then recursively allocates capital using an inverse-variance approach. This process avoids inverting the often ill-conditioned covariance matrix, making it a robust technique in quantitative finance for asset allocation. Task Implement the function hrp_weights(retur
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