ComputeBeta {DOSPortfolio} | R Documentation |
The function computes the beta coefficients from Eq. (2.20) in Bodnar et al. (2021), which are used in the recursive computation of the dynamic shrinkage estimator of the GMV portfolio weights in the case of overlapping samples.
ComputeBeta(i, j, Psi)
i |
an integer greater than one. |
j |
an integer greater than one. |
Psi |
vector, the vector of the optimal shrinkage intensities computed in the previous step of the recursion. |
a number
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.