Beyond De Prado and Cotton: Hierarchical and Iterative Methods for General Mean–Variance Portfolios

By Bernd J. Wuebben

Published 2026-04-11

Everscope rating

1842.7

Relevance to quantitative trading

10 / 10

Implementation complexity

5 / 10

Reproducibility

5 / 5

About this paper

Methodology: Hierarchical and Iterative Signal-Aware Portfolio Construction (HRP-µ, HRP-Σµ, CRISP). Problem types: Portfolio Optimization, Risk Management, Optimization, Regularization, Iterative Numerical Methods.

arXiv:2604.23833 · Code · Paper rankings

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