ComputeD: A helper function for computing D-coefficients used in the...
In DOSPortfolio: Dynamic Optimal Shrinkage Portfolio
Description
Usage
Arguments
Value
Description
The function computes the D_{j,i} coefficients from Eq. (2.21) 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
ComputeD(Ci, Cj)
Arguments
Ci
a number equal to the concentration ratio of period i
Cj
a number equal to the concentration ratio of period j
Value
a number
DOSPortfolio documentation built on Sept. 13, 2021, 9:09 a.m.
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Description Usage Arguments Value
Description
The function computes the D_{j,i} coefficients from Eq. (2.21) 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 | ComputeD(Ci, Cj)
|
Arguments
Ci |
a number equal to the concentration ratio of period i |
Cj |
a number equal to the concentration ratio of period j |
Value
a number
R 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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