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lequant40/hierarchical-clustering-based.js

Last active May 25, 2022 10:43
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Hierarchical Clustering-based portfolio optimization algorithm
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hierarchical-clustering-based.js
fetch('https://api.portfoliooptimizer.io/v1/portfolio/optimization/hierarchical-risk-parity/clustering-based',
{
method: 'POST',
headers: { 'Content-Type': 'application/json' },
body: JSON.stringify({ assets: 5,
assetsCovarianceMatrix: [[1,1,0,0,0],[1,1,0,0,0],[0,0,1,0,0],[0,0,0,1,1],[0,0,0,1,1]],
clusters: 3,
acrossClusterAllocationMethod: "equalWeighting",
withinClusterAllocationMethod: "equalWeighting",
})
})
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