How to use the package | A note on the assumptions made in DOSPortfolio | References
Package: DOSPortfolio 0.1.0
Erik Thorsén
DOSPortfolio: Dynamic Optimal Shrinkage Portfolio
Constructs dynamic optimal shrinkage estimators for the weights of the global minimum variance portfolio which are reconstructed at given reallocation points as derived in Bodnar, Parolya, and Thorsén (2021) (<arxiv:2106.02131>). Two dynamic shrinkage estimators are available in this package. One using overlapping samples while the other use nonoverlapping samples.
Authors:
DOSPortfolio_0.1.0.tar.gz
DOSPortfolio_0.1.0.zip(r-4.7-any)DOSPortfolio_0.1.0.zip(r-4.6-any)DOSPortfolio_0.1.0.zip(r-4.5-any)
DOSPortfolio_0.1.0.tgz(r-4.6-any)DOSPortfolio_0.1.0.tgz(r-4.5-any)
DOSPortfolio_0.1.0.tar.gz(r-4.7-any)DOSPortfolio_0.1.0.tar.gz(r-4.6-any)
DOSPortfolio_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
DOSPortfolio/json (API)
| # Install 'DOSPortfolio' in R: |
| install.packages('DOSPortfolio', repos = c('https://statistics-in-portfolio-theory.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/statistics-in-portfolio-theory/dosportfolio/issues
Last updated from:d864f24d96. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 107 | ||
| source / vignettes | OK | 155 | ||
| linux-release | OK | 110 | ||
| macos-release | OK | 142 | ||
| macos-oldrel | OK | 202 | ||
| windows-devel | OK | 52 | ||
| windows-release | OK | 74 | ||
| windows-oldrel | OK | 62 | ||
| wasm-release | OK | 101 |
Exports:DOSPortfolior0StrategywGMVwGMVNonOverlappingwGMVOverlapping
