Other packages > Find by keyword >

HDShOP  

High-Dimensional Shrinkage Optimal Portfolios
View on CRAN: Click here


Download and install HDShOP package within the R console
Install from CRAN:
install.packages("HDShOP")

Install from Github:
library("remotes")
install_github("cran/HDShOP")

Install by package version:
library("remotes")
install_version("HDShOP", "0.1.7")



Attach the package and use:
library("HDShOP")
Maintained by
Dmitry Otryakhin
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-08-02
Latest Update: 2024-03-25
Description:
Constructs shrinkage estimators of high-dimensional mean-variance portfolios and performs high-dimensional tests on optimality of a given portfolio. The techniques developed in Bodnar et al. (2018 , 2019 , 2020 , 2021 ) are central to the package. They provide simple and feasible estimators and tests for optimal portfolio weights, which are applicable for 'large p and large n' situations where p is the portfolio dimension (number of stocks) and n is the sample size. The package also includes tools for constructing portfolios based on shrinkage estimators of the mean vector and covariance matrix as well as a new Bayesian estimator for the Markowitz efficient frontier recently developed by Bauder et al. (2021) .
How to cite:
Dmitry Otryakhin (2021). HDShOP: High-Dimensional Shrinkage Optimal Portfolios. R package version 0.1.7, https://cran.r-project.org/web/packages/HDShOP. Accessed 09 Mar. 2026.
Previous versions and publish date:
0.1.0 (2021-08-02 10:50), 0.1.1 (2021-09-03 02:20), 0.1.2 (2021-10-23 10:40), 0.1.3 (2022-11-08 11:20), 0.1.5 (2024-03-25 06:50), 0.1.6 (2025-10-19 18:10)
Other packages that cited HDShOP R package
View HDShOP citation profile
Other R packages that HDShOP depends, imports, suggests or enhances
Complete documentation for HDShOP
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

Rgb  
The R Genome Browser
Classes and methods to efficiently handle (slice, annotate, draw ...) genomic features (such as gene ...
Download / Learn more Package Citations See dependency  
ggblanket  
Simplify 'ggplot2' Visualisation
Simplify 'ggplot2' visualisation with 'ggblanket' wrapper functions. ...
Download / Learn more Package Citations See dependency  
rzentra  
Client for the 'ZENTRA Cloud' API
Provides functionality to read settings, statuses and readings of weather stations from the 'ZENTRA ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
pooling  
Fit Poolwise Regression Models
Functions for calculating power and fitting regression models in studies where a biomarker is measur ...
Download / Learn more Package Citations See dependency  

26,293

R Packages

225,784

Dependencies

70,376

Author Associations

26,294

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA