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", "0.1.5")



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: 2022-11-08
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 0.1.5, https://cran.r-project.org/web/packages/HDShOP
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)
Other packages that cited HDShOP R package
View HDShOP citation profile
Other R packages that HDShOP depends, imports, suggests or enhances
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

nimbleSCR  
Spatial Capture-Recapture (SCR) Methods Using 'nimble'
Provides utility functions, distributions, and fitting methods for Bayesian Spatial Capture-Recaptur ...
Download / Learn more Package Citations See dependency  
ALSCPC  
Accelerated line search algorithm for simultaneous orthogonal transformation of several positive definite symmetric matrices to nearly diagonal form
Using of the accelerated line search algorithm for simultaneously diagonalize a set of symmetric po ...
Download / Learn more Package Citations See dependency  
CSMES  
Cost-Sensitive Multi-Criteria Ensemble Selection for Uncertain Cost Conditions
Functions for cost-sensitive multi-criteria ensemble selection (CSMES) (as described in De bock et a ...
Download / Learn more Package Citations See dependency  
qmap  
Statistical Transformations for Post-Processing Climate Model Output
Empirical adjustment of the distribution of variables originating from (regional) climate model simu ...
Download / Learn more Package Citations See dependency  
d4storagehub4R  
Interface to 'D4Science' 'StorageHub' API
Provides an interface to 'D4Science' 'StorageHub' API (). Allows to get ...
Download / Learn more Package Citations See dependency  
rcc  
Parametric Bootstrapping to Control Rank Conditional Coverage
Functions to implement the parametric and non-parametric bootstrap confidence interval methods desc ...
Download / Learn more Package Citations See dependency  

22,431

R Packages

191,269

Dependencies

56,139

Author Associations

22,432

Publication Badges

© Copyright 2022 - present. All right reserved, rpkg.net. Contact Us / Suggestions / Concerns