In hierarchical_schur_complementary_portfolio_with_defaults, the default port is diagonal_portfolio_factory
It is called here with the covariance as a positional argument.
However, diagonal_portfolio_factory takes pre as it's first positional argument (here) meaning that the allocation is not an inverse variance.
I think it should be port(cov=cov) as opposed to port(cov) (with that change, the allocation will be homogenous to HRP when gamma=0)
In
hierarchical_schur_complementary_portfolio_with_defaults, the defaultportisdiagonal_portfolio_factoryIt is called here with the covariance as a positional argument.
However,
diagonal_portfolio_factorytakespreas it's first positional argument (here) meaning that the allocation is not an inverse variance.I think it should be
port(cov=cov)as opposed toport(cov)(with that change, the allocation will be homogenous to HRP when gamma=0)