most citedSchur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios

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q-fin.MF2026

Nested Clustered Optimization Is One End of a Schur Bridge, and the Interior Is Sometimes Provably Better

Peter Cotton

Nested clustered optimization allocates within each cluster from the cluster's own covariance block and then across the resulting cluster portfolios. Block inversion says the uncon…