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
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DOSPortfolio_0.1.0.tgz(r-4.4-any)DOSPortfolio_0.1.0.tgz(r-4.3-any)
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DOSPortfolio.pdf |DOSPortfolio.html✨
DOSPortfolio/json (API)

Peer review:

Bug tracker:https://github.com/statistics-in-portfolio-theory/dosportfolio/issues

On CRAN:

5 exports 4 stars 1.02 score 2 dependencies 4 scripts 272 downloads

Last updated 3 years agofrom:d864f24d96. Checks:OK: 7. Indexed: yes.

Exports:DOSPortfolior0StrategywGMVwGMVNonOverlappingwGMVOverlapping

Dependencies:rbibutilsRdpack