HDShOP

swMATH41986CRANHDShOPMaRDI QIDQ1352979FDOQ1352979

Authors Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Dmitry Otryakhin, Nestor Parolya

Last update 8 November 2022

Copyright license GNU General Public License, version 3.0

Software version identifier 0.1.3

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

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

Cites work

• 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

Cited in

(3)

• DOSPortfolio
• Recent advances in shrinkage-based high-dimensional inference
• cvCovEst

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