CRAN/E | DOSPortfolio

DOSPortfolio

Dynamic Optimal Shrinkage Portfolio

Installation

About

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.

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

Key Metrics

Version 0.1.0
R ≥ 3.5.0
Published 2021-09-13 950 days ago
Needs compilation? no
License GPL-3
CRAN checks DOSPortfolio results

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Maintainer

Maintainer

Erik Thorsén

erik.thorsen@math.su.se

Authors

Taras Bodnar

aut

Nestor Parolya

aut

Erik Thorsén

aut / cre

Material

README
Reference manual
Package source

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Finance

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introduction

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Depends

R ≥ 3.5.0

Imports

Rdpack ≥ 0.7

Suggests

knitr
rmarkdown
testthat ≥ 3.0.0
HDShOP