HDShOP (Q1352979)

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High-Dimensional Shrinkage Optimal Portfolios

Language	Label	Description	Also known as
English	HDShOP	High-Dimensional Shrinkage Optimal Portfolios

Statements

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source code repository

https://github.com/cran/HDShOP

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8 November 2022

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software version identifier

0.1.3

publication date

8 November 2022

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Solomiia Dmytriv

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Dmitry Otryakhin

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Dmitry Otryakhin

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copyright license

GNU General Public License, version 3.0

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Estimation of the global minimum variance portfolio in high dimensions

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Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting

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Statistical Inference for the Expected Utility Portfolio in High Dimensions

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Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty

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depends on software

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MaRDI profile type

MaRDI software profile

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Software Heritage ID

swh:1:snp:35b2e2addac081d2b020e14e18e5e818051123b8

source code repository

https://github.com/cran/HDShOP

15 October 2023

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Sitelinks

Mathematics(1 entry)

mardi Software:1352979

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