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 06 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

lbfgs  
Limited-memory BFGS Optimization
A wrapper built around the libLBFGS optimization library by Naoaki Okazaki. The lbfgs package implem ...
Download / Learn more Package Citations See dependency  
r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
EMVS  
The Expectation-Maximization Approach to Bayesian Variable Selection
An efficient expectation-maximization algorithm for fitting Bayesian spike-and-slab regularization p ...
Download / Learn more Package Citations See dependency  
mlr3viz  
Visualizations for 'mlr3'
Visualization package of the 'mlr3' ecosystem. It features plots for mlr3 objects such as tasks, le ...
Download / Learn more Package Citations See dependency  
solitude  
An Implementation of Isolation Forest
Isolation forest is anomaly detection method introduced by the paper Isolation based Anomaly Detecti ...
Download / Learn more Package Citations See dependency  
openxlsx  
Read, Write and Edit xlsx Files
Simplifies the creation of Excel .xlsx files by providing a high level interface to writing, stylin ...
Download / Learn more Package Citations See dependency  

26,264

R Packages

223,360

Dependencies

70,376

Author Associations

26,265

Publication Badges

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