DOSPortfolio-package {DOSPortfolio} | R Documentation |
The DOSPortfolio package consists of two shrinkage estimators for the Global
Minimum Variance (GMV) portfolio. These are implemented in the packages main
interface: DOSPortfolio
. The shrinkage is performed at fixed
reallocation points in a dynamic manner where the sample estimator of the
GMV weights is shrunk towards the holding portfolio. The reallocation points
are specified by a deterministic sequence given a priori. The estimation is
performed such that the shrinkage coefficients are optimal for large
portfolios, e.g. there are many assets in comparison to observations. The
main interface validates the main assumptions of the theory used to derive
these methods.
DOSPortfolio: (Bodnar et al. 2021)
Bodnar T, Parolya N, Thorsén E (2021). “Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio.” arXiv preprint arXiv:2106.02131. https://arxiv.org/abs/2106.02131.