Hierarchical Risk Parity portfolio optimization algorithm

hierarchical-risk-parity.js

fetch('https://api.portfoliooptimizer.io/v1/portfolio/optimization/hierarchical-clustering-based-risk-parity',
      { 
        method: 'POST',
        headers: { 'Content-Type': 'application/json' },
        body: JSON.stringify({ assets: 10,
                               assetsCovarianceMatrix: [[1.000647799, -0.003050479,  0.010033224, -0.010759689, -0.005036503, 0.008762563,  0.998201625, -0.001393196, -0.001254522, -0.009365991],
                                                       [-0.003050479,  1.009021349,  0.008613817,  0.007334478, -0.009492688, 0.013031817, -0.009420720, -0.015346223,  1.010520047,  1.013334849],
                                                       [0.010033224,  0.008613817,  1.000739363, -0.000637885,  0.001783293, 1.001574768,  0.006385368,  0.001922316,  0.012902050,  0.007997935],
                                                       [-0.010759689,  0.007334478, -0.000637885,  1.011854725,  0.005759976, 0.000905812, -0.011912269,  0.000461894,  0.012572661,  0.009621670],
                                                       [-0.005036503, -0.009492688,  0.001783293,  0.005759976,  1.005835878, 0.005606343, -0.009643250,  1.008567427, -0.006183035, -0.007942770],
                                                       [0.008762563,  0.013031817,  1.001574768,  0.000905812,  0.005606343, 1.064309825,  0.004413960,  0.005780148,  0.017185396,  0.011601336],
                                                       [0.998201625, -0.009420720,  0.006385368, -0.011912269, -0.009643250, 0.004413960,  1.058172027, -0.006755374, -0.008099181, -0.016240271],
                                                       [-0.001393196, -0.015346223,  0.001922316,  0.000461894,  1.008567427, 0.005780148, -0.006755374,  1.074833155, -0.011903469, -0.013738378],
                                                       [-0.001254522,  1.010520047,  0.012902050,  0.012572661, -0.006183035, 0.017185396, -0.008099181, -0.011903469,  1.075346677,  1.015220126],
                                                       [-0.009365991,  1.013334849,  0.007997935,  0.009621670, -0.007942770, 0.011601336, -0.016240271, -0.013738378,  1.015220126,  1.078586686]]
                             })
      })