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.

Package details

AuthorTaras Bodnar [aut] (<>), Nestor Parolya [aut] (<>), Erik Thorsén [aut, cre] (<>)
MaintainerErik Thorsén <>
Package repositoryView on CRAN
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DOSPortfolio documentation built on Sept. 13, 2021, 9:09 a.m.