Proposes HRP-μ, HRP-Σμ, and CRISP as signal-aware extensions to HRP and Cotton-style regularization for mean-variance portfolios, with Monte Carlo results showing outperformance over baselines.
Wolf, 2003, Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection, Journal of Empirical Finance 10(5), 603--621
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Beyond De Prado and Cotton: Hierarchical and Iterative Methods for General Mean-Variance Portfolios
Proposes HRP-μ, HRP-Σμ, and CRISP as signal-aware extensions to HRP and Cotton-style regularization for mean-variance portfolios, with Monte Carlo results showing outperformance over baselines.