wGMVNonOverlapping: Dynamic optimal shrinkage estimator of the weights of the...

In DOSPortfolio: Dynamic Optimal Shrinkage Portfolio

Description

The function implements the dynamic shrinkage estimator of the weights of the global minimum-variance portfolio when the overlapping samples are used as given in Eq. (2.11) of \insertCiteBODNAR21dynshrink;textualDOSPortfolio .

Usage

wGMVNonOverlapping(data, reallocation_points, target_portfolio, relative_loss)

Arguments

data	an n by p matrix of asset returns. Columns represent different assets rows are observations, where n>p, containing, for instance, log-returns.
reallocation_points	a vector of reallocation points. The reallocation points determine when the holding portfolio should be reconstructed and it is weights should be recomputed.
target_portfolio	a vector which determines the weights of the target portfolio used when the shrinkage estimator of the global minimum variance portfolio is constructed for the first time.
relative_loss	possibly a numeric or NULL. The initial value of the relative loss in the variance of the target portfolio. If it is NULL, then it will be initialized with the first subsample and the function r0Strategy.

Value

a matrix of the constructed weights at each reallocation point of the dynamic shrinkage estimator of the global minimum variance portfolio when non-overlapping samples are used.

References

\insertAllCited

See Also

section 2.1 \insertCiteBODNAR21dynshrinkDOSPortfolio

Examples

n <- 200*2
p <- 80
reallocation_point <- c(199)
data <- 3/5 * matrix(rt(n*p, df=5), ncol=p, nrow=n)
target_portfolio <- as.vector(rep(1,p))/p
wGMVNonOverlapping(data, reallocation_point, target_portfolio, 1)

DOSPortfolio documentation built on Sept. 13, 2021, 9:09 a.m.