Statistics-In-Portfolio-Theory/DOSportfolio: Dynamic Optimal Shrinkage Portfolio

Constructs dynamic optimal shrinkage estimators for the weights of the global minimum variance portfolio which are reconstructed at given reallocation points as derived in Bodnar, Parolya, and Thorsén (2021) (<arXiv:2106.02131>). Two dynamic shrinkage estimators are available in this package. One using overlapping samples while the other use nonoverlapping samples.

README.md

Vignettes Man pages API and functions Files

Package details
Author	Taras Bodnar [aut] (<https://orcid.org/0000-0001-7855-8221>), Nestor Parolya [aut] (<https://orcid.org/0000-0003-2147-2288>), Erik Thorsén [aut, cre] (<https://orcid.org/0000-0001-5992-1216>)
Maintainer	Erik Thorsén <erik.thorsen@math.su.se>
License	GPL-3
Version	0.1.0
URL	https://github.com/Statistics-In-Portfolio-Theory/DOSportfolio
Package repository	View on GitHub
Installation	Install the latest version of this package by entering the following in R: `install.packages("remotes") remotes::install_github("Statistics-In-Portfolio-Theory/DOSportfolio")`