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) (<doi:10.48550/arXiv.2106.02131>). Two dynamic shrinkage estimators are available in this package. One using overlapping samples while the other use nonoverlapping samples.

Version:	0.1.0
Depends:	R (≥ 3.5.0)
Imports:	Rdpack (≥ 0.7)
Suggests:	knitr, rmarkdown, testthat (≥ 3.0.0), HDShOP
Published:	2021-09-13
Author:	Taras Bodnar [aut], Nestor Parolya [aut], Erik Thorsén [aut, cre]
Maintainer:	Erik Thorsén <erik.thorsen at math.su.se>
License:	GPL-3
URL:	https://github.com/Statistics-In-Portfolio-Theory/DOSportfolio
NeedsCompilation:	no
Materials:	README
In views:	Finance
CRAN checks:	DOSPortfolio results

Documentation:

Reference manual:	DOSPortfolio.pdf
Vignettes:	introduction

Downloads:

Package source:	DOSPortfolio_0.1.0.tar.gz
Windows binaries:	r-devel: DOSPortfolio_0.1.0.zip, r-release: DOSPortfolio_0.1.0.zip, r-oldrel: DOSPortfolio_0.1.0.zip
macOS binaries:	r-release (arm64): DOSPortfolio_0.1.0.tgz, r-oldrel (arm64): DOSPortfolio_0.1.0.tgz, r-release (x86_64): DOSPortfolio_0.1.0.tgz, r-oldrel (x86_64): DOSPortfolio_0.1.0.tgz

Linking:

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