ComputeBeta {DOSPortfolio}R Documentation

A helper function for computing beta coefficients used in the case of the overlapping sample (Bodnar et al. 2021)

Description

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.

Usage

ComputeBeta(i, j, Psi)

Arguments

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.

Value

a number

References

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.


[Package DOSPortfolio version 0.1.0 Index]