rUpdateOverlapping {DOSPortfolio} | R Documentation |
The recursive estimation for updating the relative loss in the variance of the holding portfolio.
Description
This function implements equation (2.19), the recursive estimation for updating the relative loss in the variance of the holding portfolio in the overlapping scheme.
Usage
rUpdateOverlapping(Psi, c, prev_R, K)
Arguments
Psi |
a vector of shrinkage coefficients. |
c |
a numeric between 0 and 1. It is the concentration ration. |
prev_R |
a numeric greater than 0, the previous value of the relative loss |
K |
a numeric parameter. |
Value
a number
[Package DOSPortfolio version 0.1.0 Index]