TVMVP: Time-Varying Minimum Variance Portfolio
Provides the estimation of a time-dependent covariance matrix of returns with the intended use for portfolio optimization. The package offers methods for determining the optimal number of factors to be used in the covariance estimation, a hypothesis test of time-varying covariance, and user-friendly functions for portfolio optimization and rolling window evaluation. The local PCA method, method for determining the number of factors, and associated hypothesis test are based on Su and Wang (2017) <doi:10.1016/j.jeconom.2016.12.004>. The approach to time-varying portfolio optimization follows Fan et al. (2024) <doi:10.1016/j.jeconom.2022.08.007>. The regularisation applied to the residual covariance matrix adopts the technique introduced by Chen et al. (2019) <doi:10.1016/j.jeconom.2019.04.025>.
| Version: | 1.0.4 |
| Depends: | R (≥ 3.6.0) |
| Imports: | R6, cli, prettyunits |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: | 2025-05-29 |
| DOI: | 10.32614/CRAN.package.TVMVP |
| Author: | Erik Lillrank 
[aut, cre],
Yukai Yang [aut] |
| Maintainer: | Erik Lillrank <erik.lillrank at gmail.com> |
| BugReports: | https://github.com/erilill/TV-MVP/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/erilill/TV-MVP |
| NeedsCompilation: | no |
| Citation: | TVMVP citation info |
| Materials: | README |
| CRAN checks: | TVMVP results |
Documentation:
| Reference manual: | TVMVP.pdf |
| Vignettes: |
TVMVP: Overview and Getting Started (source, R code) Master’s thesis (source, R code) |
Downloads:
| Package source: | TVMVP_1.0.4.tar.gz |
| Windows binaries: | r-devel: not available, r-release: TVMVP_1.0.4.zip, r-oldrel: TVMVP_1.0.4.zip |
| macOS binaries: | r-release (arm64): TVMVP_1.0.4.tgz, r-oldrel (arm64): TVMVP_1.0.4.tgz, r-release (x86_64): TVMVP_1.0.4.tgz, r-oldrel (x86_64): TVMVP_1.0.4.tgz |
Linking:
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