DOSPortfolio

Dynamic Optimal Shrinkage Portfolio

CRAN Package

Constructs dynamic optimal shrinkage estimators for the weights of the global minimum variance portfolio which are reconstructed at given reallocation points as derived in Bodnar, Parolya, and Thorsén (2021) (doi:10.48550/arXiv.2106.02131). Two dynamic shrinkage estimators are available in this package. One using overlapping samples while the other use nonoverlapping samples.

  • Version0.1.0
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?No
  • Last release09/13/2021

Documentation


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Insights

Last 30 days

This package has been downloaded 191 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 6 times.

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The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 2,685 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Jan 30, 2025 with 41 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


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Dependencies

  • Imports1 package
  • Suggests4 packages