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>, Bodnar et al. (2019)
<doi:10.1109/TSP.2019.2929964>, Bodnar et al. (2020) <doi:10.1109/TSP.2020.3037369>
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: |
0.1.2 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
Rdpack |
| Suggests: |
ggplot2, testthat, EstimDiagnostics, MASS, corpcor, waldo |
| Published: |
2021-10-23 |
| Author: |
Taras Bodnar 
[aut],
Solomiia Dmytriv
[aut],
Yarema Okhrin
[aut],
Dmitry Otryakhin
[aut, cre],
Nestor Parolya
[aut] |
| Maintainer: |
Dmitry Otryakhin <d.otryakhin.acad at protonmail.ch> |
| 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:
Downloads:
Reverse dependencies:
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