The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.

HDShOP: High-Dimensional Shrinkage Optimal Portfolios

Constructs shrinkage estimators of high-dimensional mean-variance portfolios and performs high-dimensional tests on optimality of a given portfolio. The techniques developed in Bodnar et al. (2018 <doi:10.1016/j.ejor.2017.09.028>, 2019 <doi:10.1109/TSP.2019.2929964>, 2020 <doi:10.1109/TSP.2020.3037369>, 2021 <doi:10.1080/07350015.2021.2004897>) are central to the package. They provide simple and feasible estimators and tests for optimal portfolio weights, which are applicable for 'large p and large n' situations where p is the portfolio dimension (number of stocks) and n is the sample size. The package also includes tools for constructing portfolios based on shrinkage estimators of the mean vector and covariance matrix as well as a new Bayesian estimator for the Markowitz efficient frontier recently developed by Bauder et al. (2021) <doi:10.1080/14697688.2020.1748214>.

Version: 0.1.5
Depends: R (≥ 3.5.0)
Imports: Rdpack, lattice
Suggests: ggplot2, testthat, EstimDiagnostics, MASS, corpcor, waldo
Published: 2024-03-25
Author: Taras Bodnar ORCID iD [aut], Solomiia Dmytriv ORCID iD [aut], Yarema Okhrin ORCID iD [aut], Dmitry Otryakhin ORCID iD [aut, cre], Nestor Parolya ORCID iD [aut]
Maintainer: Dmitry Otryakhin <d.otryakhin.acad at protonmail.ch>
BugReports: https://github.com/Otryakhin-Dmitry/global-minimum-variance-portfolio/issues
License: GPL-3
URL: https://github.com/Otryakhin-Dmitry/global-minimum-variance-portfolio
NeedsCompilation: no
Materials: NEWS
In views: Finance
CRAN checks: HDShOP results

Documentation:

Reference manual: HDShOP.pdf

Downloads:

Package source: HDShOP_0.1.5.tar.gz
Windows binaries: r-devel: HDShOP_0.1.5.zip, r-release: HDShOP_0.1.5.zip, r-oldrel: HDShOP_0.1.5.zip
macOS binaries: r-release (arm64): HDShOP_0.1.5.tgz, r-oldrel (arm64): HDShOP_0.1.5.tgz, r-release (x86_64): HDShOP_0.1.5.tgz, r-oldrel (x86_64): HDShOP_0.1.5.tgz
Old sources: HDShOP archive

Reverse dependencies:

Reverse suggests: DOSPortfolio

Linking:

Please use the canonical form https://CRAN.R-project.org/package=HDShOP to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.