Carlyle McCready & Nina Matthews#21
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We initially applied an equally weighted buy-hold approach and hierarchical risk parity approach to the problem. However, these approaches produced results which did not meet the weighting constraints of the challenge..
We then planned to simplify our approach by focusing on the top n=109 performers from the training window and then apply a weighting of 1/n to each of these shares to keep within the constraints of the challenge. We created a matrix following the dimensions of the output weighting data frame and added the new weightings. This is ofcourse a naive approach given the time we spent working on the equally weighted buy-hold and hierarchical risk parity approaches.