Man pages for HDShOP
High-Dimensional Shrinkage Optimal Portfolios
| Class_MeanVar_portfolio | S3 class MeanVar_portfolio |
| CovarEstim | Covariance matrix estimator |
| CovShrinkBGP14 | Linear shrinkage estimator of the covariance matrix... |
| HDShOP-package | A set of tools for shrinkage estimation of mean-variance... |
| InvCovShrinkBGP16 | Linear shrinkage estimator of the inverse covariance matrix... |
| mean_bop19 | BOP shrinkage estimator |
| mean_bs | Bayes-Stein shrinkage estimator of the mean vector |
| MeanEstim | Mean vector estimator |
| mean_js | James-Stein shrinkage estimator of the mean vector |
| MeanVar_portfolio | A helper function for MeanVar_portfolio |
| MVShrinkPortfolio | Shrinkage mean-variance portfolio |
| new_GMV_portfolio_weights_BDPS19 | Constructor of GMV portfolio object. |
| new_MeanVar_portfolio | A constructor for class MeanVar_portfolio |
| new_MV_portfolio_traditional | Traditional mean-variance portfolio |
| new_MV_portfolio_weights_BDOPS21 | Constructor of MV portfolio object |
| nonlin_shrinkLW | nonlinear shrinkage estimator of the covariance matrix of... |
| plot_frontier | Plot the Bayesian efficient frontier... |
| RandCovMtrx | Covariance matrix generator |
| Sigma_sample_estimator | Sample covariance matrix |
| SP_daily_asset_returns | Daily log-returns of selected constituents S&P500. |
| test_MVSP | Test for mean-variance portfolio weights |
| validate_MeanVar_portfolio | A validator for objects of class MeanVar_portfolio |
