![](https://blog.zhaw.ch/aiinfinance/files/2024/04/Portfolio-Creators-1-1024x1024.jpg)
Interpretable machine learning for diversified portfolio construction
In this article, the authors construct a pipeline to benchmark hierarchical risk parity (HRP) relative to equal risk contribution (ERC) as examples of diversification strategies allocating to liquid multi-asset futures markets with dynamic leverage (volatility target). The authors use interpretable machine learning concepts (explainable AI) to compare the robustness of the strategies and to back […]