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, 2004, Honey, I Shrunk the Sample Covariance Matrix, Journal of Portfolio Management 30(4), 110--119
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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.