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) (<doi:10.48550/arXiv.2106.02131>). Two dynamic shrinkage estimators are available in this package. One using overlapping samples while the other use nonoverlapping samples.
| Version: | 0.1.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rdpack (≥ 0.7) |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0), HDShOP |
| Published: | 2021-09-13 |
| DOI: | 10.32614/CRAN.package.DOSPortfolio |
| Author: | Taras Bodnar 
[aut],
Nestor Parolya
[aut],
Erik Thorsén
[aut, cre] |
| Maintainer: | Erik Thorsén <erik.thorsen at math.su.se> |
| License: | GPL-3 |
| URL: | https://github.com/Statistics-In-Portfolio-Theory/DOSportfolio |
| NeedsCompilation: | no |
| Materials: | README |
| In views: | Finance |
| CRAN checks: | DOSPortfolio results |
Documentation:
| Reference manual: | DOSPortfolio.pdf |
| Vignettes: |
introduction |
Downloads:
| Package source: | DOSPortfolio_0.1.0.tar.gz |
| Windows binaries: | r-devel: DOSPortfolio_0.1.0.zip, r-release: DOSPortfolio_0.1.0.zip, r-oldrel: DOSPortfolio_0.1.0.zip |
| macOS binaries: | r-release (arm64): DOSPortfolio_0.1.0.tgz, r-oldrel (arm64): DOSPortfolio_0.1.0.tgz, r-release (x86_64): DOSPortfolio_0.1.0.tgz, r-oldrel (x86_64): DOSPortfolio_0.1.0.tgz |
Linking:
Please use the canonical form https://CRAN.R-project.org/package=DOSPortfolio to link to this page.