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.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'))

Peer review:

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

On CRAN:

4.30 score 4 stars 4 scripts 205 downloads 5 exports 2 dependencies

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

TargetResultDate
Doc / VignettesOKNov 12 2024
R-4.5-winOKNov 12 2024
R-4.5-linuxOKNov 12 2024
R-4.4-winOKNov 12 2024
R-4.4-macOKNov 12 2024
R-4.3-winOKNov 12 2024
R-4.3-macOKNov 12 2024

Exports:DOSPortfolior0StrategywGMVwGMVNonOverlappingwGMVOverlapping

Dependencies:rbibutilsRdpack

An introduction to the Dynamic Optimal Shrinkage Portfolio package

Rendered fromintroduction.Rmdusingknitr::rmarkdownon Nov 12 2024.

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