Dynamic Optimal Shrinkage Portfolio
A helper function for computing beta coefficients used in the case of ...
A helper function for computing D-coefficients used in the case of the...
Computes a convex combination between two vectors.
A set of tools for constructing Dynamic Optimal Shrinkage estimator of...
The Dynamic Optimal Shrinkage Portfolio interface.
Constructor for the DOSPortfolio class
Computes the relative loss of the target portfolio used
The recursive estimation for updating the relative loss in the varianc...
Validates input to the DOSPortfolio function.
Sample estimator of the weights of the global minimum variance portfol...
Dynamic optimal shrinkage estimator of the weights of the global minim...
Dynamic optimal shrinkage estimator of the weights of the global minim...
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.