R: High-Dimensional Shrinkage Optimal Portfolios

# High-Dimensional Shrinkage Optimal Portfolios

## Documentation for package ‘HDShOP’ version 0.1.7

- 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