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.


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install.packages("DOSPortfolio")

0.1.0 by Erik Thorsén, 15 days ago


https://github.com/Statistics-In-Portfolio-Theory/DOSportfolio


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


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


Documentation:   PDF Manual  


GPL-3 license


Imports Rdpack

Suggests knitr, rmarkdown, testthat, HDShOP


See at CRAN