Can I create long short portfolio using any of Hierarchical Risk Parity (HRP) algorithms

[thomsonian2023]

I am reading through the examples and it is not immediately clear how to use any of the HRP class algorithms to create a long-short portfolio.

Thanks

[dcajasn]

Hi @thomsonian2023,

By the moment it is not posible. The way PortfolioLab library makes that is defining in advance which assets take short positions. For me the problem with this, is that the algo doesn't calculate short positions internally.

Best,
Dany

[thomsonian2023]

Do you know of any other similar python packages implementing clustering but calculates short positions also?

[dcajasn]

The only one is PortfolioLab, but it's not available on pypi, you must look for PortfolioLab 0.3.0 mirror on google. On the other hand, I don't know papers about short positions on hierarchical risk parity.

[BradKML]

Wanted to look around and seek (FOSS) solutions for these two "longshort" experiments:

• https://policytensor.substack.com/p/youre-probably-underweight-real-estate
• https://policytensor.substack.com/p/how-to-systematically-beat-the-60