HDShOP
From MaRDI portal
Software:1352979
swMATH41986CRANHDShOPMaRDI QIDQ1352979
High-Dimensional Shrinkage Optimal Portfolios
Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Dmitry Otryakhin, Nestor Parolya
Last update: 8 November 2022
Software version identifier: 0.1.3
Source code repository: https://github.com/cran/HDShOP
Copyright license: GNU General Public License, version 3.0
- Estimation of the global minimum variance portfolio in high dimensions
- Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
- Statistical Inference for the Expected Utility Portfolio in High Dimensions
- Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty