ComputeBeta: A helper function for computing beta coefficients used in the...
In DOSPortfolio: Dynamic Optimal Shrinkage Portfolio
Description
Usage
Arguments
Value
References
Description
The function computes the beta coefficients from Eq. (2.20) in \insertCiteBODNAR21dynshrink;textualDOSPortfolio,
which are used in the recursive computation of the dynamic shrinkage estimator of the GMV portfolio weights in the
case of overlapping samples.
Usage
1
ComputeBeta(i, j, Psi)
Arguments
i
an integer greater than one.
j
an integer greater than one.
Psi
vector, the vector of the optimal shrinkage intensities computed in the previous step of the recursion.
Value
a number
References
\insertAllCited
DOSPortfolio documentation built on Sept. 13, 2021, 9:09 a.m.
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Description Usage Arguments Value References
Description
The function computes the beta coefficients from Eq. (2.20) in \insertCiteBODNAR21dynshrink;textualDOSPortfolio, which are used in the recursive computation of the dynamic shrinkage estimator of the GMV portfolio weights in the case of overlapping samples.
Usage
1 | ComputeBeta(i, j, Psi)
|
Arguments
i |
an integer greater than one. |
j |
an integer greater than one. |
Psi |
vector, the vector of the optimal shrinkage intensities computed in the previous step of the recursion. |
Value
a number
References
\insertAllCitedR Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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