High-Dimensional Shrinkage Optimal Portfolios

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Documentation for package ‘HDShOP’ version 0.1.5

• DESCRIPTION file.
• Package NEWS.

Help Pages

Class_MeanVar_portfolio	S3 class MeanVar_portfolio
CovarEstim	Covariance matrix estimator
CovShrinkBGP14	Linear shrinkage estimator of the covariance matrix (Bodnar et al. 2014)
InvCovShrinkBGP16	Linear shrinkage estimator of the inverse covariance matrix (Bodnar et al. 2016)
MeanEstim	Mean vector estimator
MeanVar_portfolio	A helper function for MeanVar_portfolio
mean_bop19	BOP shrinkage estimator
mean_bs	Bayes-Stein shrinkage estimator of the mean vector
mean_js	James-Stein shrinkage estimator of the mean vector
MVShrinkPortfolio	Shrinkage mean-variance portfolio
new_GMV_portfolio_weights_BDPS19	Constructor of GMV portfolio object.
new_GMV_portfolio_weights_BDPS19_pgn	Constructor of GMV portfolio object.
new_MeanVar_portfolio	A constructor for class MeanVar_portfolio
new_MV_portfolio_traditional	Traditional mean-variance portfolio
new_MV_portfolio_traditional_pgn	Traditional mean-variance portfolio
new_MV_portfolio_weights_BDOPS21	Constructor of MV portfolio object
new_MV_portfolio_weights_BDOPS21_pgn	Constructor of MV portfolio object
nonlin_shrinkLW	nonlinear shrinkage estimator of the covariance matrix of Ledoit and Wolf (2020)
plot_frontier	Plot the Bayesian efficient frontier (Bauder et al. 2021) and the provided portfolios.
RandCovMtrx	Covariance matrix generator
Sigma_sample_estimator	Sample covariance matrix
SP_daily_asset_returns	Daily log-returns of selected constituents S&P500.
test_MVSP	Test for mean-variance portfolio weights
validate_MeanVar_portfolio	A validator for objects of class MeanVar_portfolio