rUpdateOverlapping: The recursive estimation for updating the relative loss in...
In DOSPortfolio: Dynamic Optimal Shrinkage Portfolio
Description
Usage
Arguments
Value
Description
This function implements equation (2.19), the recursive estimation for
updating the relative loss in the variance of the holding portfolio in the
overlapping scheme.
Usage
1
rUpdateOverlapping(Psi, c, prev_R, K)
Arguments
Psi
a vector of shrinkage coefficients.
c
a numeric between 0 and 1. It is the concentration ration.
prev_R
a numeric greater than 0, the previous value of the relative loss
K
a numeric parameter.
Value
a number
DOSPortfolio documentation built on Sept. 13, 2021, 9:09 a.m.
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Description Usage Arguments Value
Description
This function implements equation (2.19), the recursive estimation for updating the relative loss in the variance of the holding portfolio in the overlapping scheme.
Usage
1 | rUpdateOverlapping(Psi, c, prev_R, K)
|
Arguments
Psi |
a vector of shrinkage coefficients. |
c |
a numeric between 0 and 1. It is the concentration ration. |
prev_R |
a numeric greater than 0, the previous value of the relative loss |
K |
a numeric parameter. |
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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