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) (). Two dynamic shrinkage estimators are available in this package. One using overlapping samples while the other use nonoverlapping samples.


Reference manual

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0.1.0 by Erik Thorsén, 4 months ago


Browse source code at https://github.com/cran/DOSPortfolio

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

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-3 license

Imports Rdpack

Suggests knitr, rmarkdown, testthat, HDShOP

See at CRAN