DOSPortfolio-package: A set of tools for constructing Dynamic Optimal Shrinkage...
In DOSPortfolio: Dynamic Optimal Shrinkage Portfolio
Description
Methods
References
Description
The DOSPortfolio package consists of two shrinkage estimators for the Global
Minimum Variance (GMV) portfolio. These are implemented in the packages main
interface: DOSPortfolio. The shrinkage is performed at fixed
reallocation points in a dynamic manner where the sample estimator of the
GMV weights is shrunk towards the holding portfolio. The reallocation points
are specified by a deterministic sequence given a priori. The estimation is
performed such that the shrinkage coefficients are optimal for large
portfolios, e.g. there are many assets in comparison to observations. The
main interface validates the main assumptions of the theory used to derive
these methods.
Methods
DOSPortfolio: \insertCiteBODNAR21dynshrinkDOSPortfolio
References
\insertAllCited
DOSPortfolio documentation built on Sept. 13, 2021, 9:09 a.m.
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Description Methods References
Description
The DOSPortfolio package consists of two shrinkage estimators for the Global
Minimum Variance (GMV) portfolio. These are implemented in the packages main
interface: DOSPortfolio. The shrinkage is performed at fixed
reallocation points in a dynamic manner where the sample estimator of the
GMV weights is shrunk towards the holding portfolio. The reallocation points
are specified by a deterministic sequence given a priori. The estimation is
performed such that the shrinkage coefficients are optimal for large
portfolios, e.g. there are many assets in comparison to observations. The
main interface validates the main assumptions of the theory used to derive
these methods.
Methods
DOSPortfolio: \insertCiteBODNAR21dynshrinkDOSPortfolio
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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