Man pages for HDShOP
High-Dimensional Shrinkage Optimal Portfolios

Class_MeanVar_portfolioS3 class MeanVar_portfolio
CovarEstimCovariance matrix estimator
CovShrinkBGP14Linear shrinkage estimator of the covariance matrix...
HDShOP-packageA set of tools for shrinkage estimation of mean-variance...
InvCovShrinkBGP16Linear shrinkage estimator of the inverse covariance matrix...
mean_bop19BOP shrinkage estimator
mean_bsBayes-Stein shrinkage estimator of the mean vector
MeanEstimMean vector estimator
mean_jsJames-Stein shrinkage estimator of the mean vector
MeanVar_portfolioA helper function for MeanVar_portfolio
MVShrinkPortfolioShrinkage mean-variance portfolio
new_GMV_portfolio_weights_BDPS19Constructor of GMV portfolio object.
new_MeanVar_portfolioA constructor for class MeanVar_portfolio
new_MV_portfolio_traditionalTraditional mean-variance portfolio
new_MV_portfolio_weights_BDOPS21Constructor of MV portfolio object
nonlin_shrinkLWnonlinear shrinkage estimator of the covariance matrix of...
plot_frontierPlot the Bayesian efficient frontier...
RandCovMtrxCovariance matrix generator
Sigma_sample_estimatorSample covariance matrix
SP_daily_asset_returnsDaily log-returns of selected constituents S&P500.
test_MVSPTest for mean-variance portfolio weights
validate_MeanVar_portfolioA validator for objects of class MeanVar_portfolio
HDShOP documentation built on Oct. 23, 2021, 9:06 a.m.