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.
|Author||Taras Bodnar [aut] (<https://orcid.org/0000-0001-7855-8221>), Nestor Parolya [aut] (<https://orcid.org/0000-0003-2147-2288>), Erik Thorsén [aut, cre] (<https://orcid.org/0000-0001-5992-1216>)|
|Maintainer||Erik Thorsén <email@example.com>|
|Package repository||View on CRAN|
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