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.

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
Author: Taras Bodnar ORCID iD [aut], Nestor Parolya ORCID iD [aut], Erik Thorsén ORCID iD [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

Downloads:

Reference manual: DOSPortfolio.pdf
Vignettes: introduction
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-release (x86_64): DOSPortfolio_0.1.0.tgz, r-oldrel: DOSPortfolio_0.1.0.tgz

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