ComputeD {DOSPortfolio} | R Documentation |
The function computes the D_{j,i}
coefficients from Eq. (2.21) 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.
ComputeD(Ci, Cj)
Ci |
a number equal to the concentration ratio of period i |
Cj |
a number equal to the concentration ratio of period j |
a number