Feature request: Constraints on HRP

[ghost]

Hi,

plain vanilla HRP portfolio optimisation tends to allocate too much weight on assets with low volatility. It would be good for users to have the option to impose a lower and upper bound as in the EfficientFrontier class.

I think this paper does something similar: https://ideas.repec.org/p/sza/wpaper/wpapers328.html

Here is an example:

                                                    weights
Aegon Global Equity Market Neut                    0.636207
Artemis UK Select Fund I Acc                       0.025731
BNY Mellon Investment Funds - N                    0.084947
Baillie Gifford American Fund B                    0.013387
Baillie Gifford European Fund B                    0.015596
Baillie Gifford Global Income G                    0.024059
Baillie Gifford Pacific B Acc                      0.031928
Baillie Gifford Positive Change                    0.026448
Fidelity Funds - Global Technology Fund W-acc-gbp  0.020010
MI Chelverton UK Equity Growth                     0.098183
Vanguard FTSE Developed World e                    0.023504