Dynamic Optimal Shrinkage Portfolio

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Documentation for package ‘DOSPortfolio’ version 0.1.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

DOSPortfolio-package	A set of tools for constructing Dynamic Optimal Shrinkage estimator of the global minimum variance portfolio.
DOSPortfolio	The Dynamic Optimal Shrinkage Portfolio interface.
new_DOSPortfolio	Constructor for the DOSPortfolio class
r0Strategy	Computes the relative loss of the target portfolio used
validate_input	Validates input to the DOSPortfolio function.
wGMV	Sample estimator of the weights of the global minimum variance portfolio
wGMVNonOverlapping	Dynamic optimal shrinkage estimator of the weights of the global minimum variance portfolio when non-overlapping samples are used.
wGMVOverlapping	Dynamic optimal shrinkage estimator of the weights of the global minimum variance portfolio when overlapping samples are used.