DOSPortfolio

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Dynamic Optimal Shrinkage Portfolio

Taras Bodnar, Nestor Parolya, Erik Thorsén

Last update: 13 September 2021

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.1.0

Official website: https://cran.r-project.org/web/packages/DOSPortfolio/index.html

Source code repository: https://github.com/cran/DOSPortfolio

Cites work

• Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio

Cited In (2)

• Recent advances in shrinkage-based high-dimensional inference
• HDShOP

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