R/DOSportfolio-package.R

In DOSPortfolio: Dynamic Optimal Shrinkage Portfolio

#' A set of tools for constructing Dynamic Optimal Shrinkage estimator of the
#' global minimum variance portfolio.
#'
#' The DOSPortfolio package consists of two shrinkage estimators for the Global
#' Minimum Variance (GMV) portfolio. These are implemented in the packages main
#' interface: \code{\link{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.
#'
#' @section Methods:
#'
#' DOSPortfolio: \insertCite{BODNAR21dynshrink}{DOSPortfolio}
#'
#'
#' @name DOSPortfolio-package
#' @docType package
#' @references
#' \insertAllCited{}
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# Importing from Rdpack (for working with references)
# to avoid getting a warning from "R CMD check"
#' @importFrom Rdpack reprompt
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