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:Taras Bodnar [aut], Nestor Parolya [aut], Erik Thorsén [aut, cre]

DOSPortfolio_0.1.0.tar.gz
DOSPortfolio_0.1.0.zip(r-4.5)DOSPortfolio_0.1.0.zip(r-4.4)DOSPortfolio_0.1.0.zip(r-4.3)
DOSPortfolio_0.1.0.tgz(r-4.5-any)DOSPortfolio_0.1.0.tgz(r-4.4-any)DOSPortfolio_0.1.0.tgz(r-4.3-any)
DOSPortfolio_0.1.0.tar.gz(r-4.5-noble)DOSPortfolio_0.1.0.tar.gz(r-4.4-noble)
DOSPortfolio_0.1.0.tgz(r-4.4-emscripten)DOSPortfolio_0.1.0.tgz(r-4.3-emscripten)
DOSPortfolio.pdf |DOSPortfolio.html✨
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

On CRAN:

Conda:

4.30 score 4 stars 4 scripts 230 downloads 5 exports 2 dependencies

Last updated 4 years agofrom:d864f24d96. Checks:9 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 12 2025
R-4.5-winOKMar 12 2025
R-4.5-macOKMar 12 2025
R-4.5-linuxOKMar 12 2025
R-4.4-winOKMar 12 2025
R-4.4-macOKMar 12 2025
R-4.4-linuxOKMar 12 2025
R-4.3-winOKMar 12 2025
R-4.3-macOKMar 12 2025

Exports:DOSPortfolior0StrategywGMVwGMVNonOverlappingwGMVOverlapping

Dependencies:rbibutilsRdpack

An introduction to the Dynamic Optimal Shrinkage Portfolio package

Rendered fromintroduction.Rmdusingknitr::rmarkdownon Mar 12 2025.

Last update: 2021-09-09
Started: 2021-05-06