Man pages for TVMVP
Time-Varying Minimum Variance Portfolio
| adaptive_poet_rho | Adaptive Selection of the Shrinkage Parameter rho for POET |
| boundary_kernel | Boundary Kernel Function |
| comp_expected_returns | Function to compute expected returns using a simple model... |
| compute_B_pT | Compute B_{pT} Statistic for Covariance Time-Variation... |
| compute_M_hat | Compute M_{\hat{}} Statistic for Covariance Time-Variation... |
| compute_sigma_0 | Compute Sigma_0 p.93 Su and Wang (2017). |
| compute_V_pT | Compute V_{pT} Statistic for Covariance Time-Variation... |
| determine_factors | Determine the Optimal Number of Factors via an Information... |
| epanechnikov_kernel | Epanechnikov Kernel Function |
| estimate_residual_cov_poet_local | Estimate Local Covariance |
| expanding_tvmvp | #' Expanding Window Time-Varying Minimum Variance Portfolio... |
| get_object_size | the function will return the size of obj and it is smart in... |
| hyptest | Test for Time-Varying Covariance via Local PCA and Bootstrap |
| local_pca | Perform Local Principal Component Analysis |
| localPCA | Perform Local PCA Over Time |
| predict_portfolio | Predict Optimal Portfolio Weights Using Time-Varying... |
| residuals | Estimate Residuals from Factor Model |
| silverman | Compute Bandwidth Parameter Using Silverman's Rule of Thumb |
| sqrt_matrix | Compute the Square Root of a Matrix |
| time_varying_cov | Estimate Time-Varying Covariance Matrix Using Local PCA |
| TVMVP | Time Varying Minimum Variance Portfolio (TVMVP) Class |
| TVMVP-package | TVMVP: Time-Varying Minimum Variance Portfolio Optimization |
| two_fold_convolution_kernel | Two-Fold Convolution Kernel Function |
