Other packages > Find by keyword >

TVMVP  

Time-Varying Minimum Variance Portfolio
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("TVMVP", "1.0.5")



Attach the package and use:
library("TVMVP")
Maintained by
Erik Lillrank
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-05-29
Latest Update: 2025-06-27
Description:
Provides the estimation of a time-dependent covariance matrix of returns with the intended use for portfolio optimization. The package offers methods for determining the optimal number of factors to be used in the covariance estimation, a hypothesis test of time-varying covariance, and user-friendly functions for portfolio optimization and rolling window evaluation. The local PCA method, method for determining the number of factors, and associated hypothesis test are based on Su and Wang (2017) <doi:10.1016/j.jeconom.2016.12.004>. The approach to time-varying portfolio optimization follows Fan et al. (2024) <doi:10.1016/j.jeconom.2022.08.007>. The regularisation applied to the residual covariance matrix adopts the technique introduced by Chen et al. (2019) <doi:10.1016/j.jeconom.2019.04.025>.
How to cite:
Erik Lillrank (2025). TVMVP: Time-Varying Minimum Variance Portfolio. R package version 1.0.5, https://cran.r-project.org/web/packages/TVMVP. Accessed 18 Sep. 2026.
Previous versions and publish date:
(2026-07-09 08:27), 1.0.4 (2025-05-29 20:10)
Other packages that cited TVMVP R package
View TVMVP citation profile
Other R packages that TVMVP depends, imports, suggests or enhances
Complete documentation for TVMVP
Functions, R codes and Examples using the TVMVP R package
Full TVMVP package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

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  
data360r  
Wrapper for 'TCdata360' and 'Govdata360' API
Makes it easy to engage with the Application Program Interface (API) of the 'TCdata360' and 'Govdat ...
Download / Learn more Package Citations See dependency  
injectoR  
R Dependency Injection
R dependency injection framework. Dependency injection allows a program design to follow the depend ...
Download / Learn more Package Citations See dependency  
hmeasure  
The H-Measure and Other Scalar Classification Performance Metrics
Classification performance metrics that are derived from the ROC curve of a classifier. The package ...
Download / Learn more Package Citations See dependency  
downlit  
Syntax Highlighting and Automatic Linking
Syntax highlighting of R code, specifically designed for the needs of 'RMarkdown' packages like 'pk ...
Download / Learn more Package Citations See dependency  
eyelinker  
Import ASC Files from EyeLink Eye Trackers
Imports plain-text ASC data files from EyeLink eye trackers into (relatively) tidy data frames for ...
Download / Learn more Package Citations See dependency  

28,565

R Packages

239,283

Dependencies

75,677

Author Associations

28,566

Publication Badges

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