rUpdateOverlapping {DOSPortfolio} | R Documentation |
This function implements equation (2.19), the recursive estimation for updating the relative loss in the variance of the holding portfolio in the overlapping scheme.
rUpdateOverlapping(Psi, c, prev_R, K)
Psi |
a vector of shrinkage coefficients. |
c |
a numeric between 0 and 1. It is the concentration ration. |
prev_R |
a numeric greater than 0, the previous value of the relative loss |
K |
a numeric parameter. |
a number