ComputeD {DOSPortfolio}R Documentation

A helper function for computing D-coefficients used in the case of the overlapping sample (Bodnar et al. 2021)

Description

The function computes the D_{j,i} coefficients from Eq. (2.21) in Bodnar et al. (2021), which are used in the recursive computation of the dynamic shrinkage estimator of the GMV portfolio weights in the case of overlapping samples.

Usage

ComputeD(Ci, Cj)

Arguments

Ci

a number equal to the concentration ratio of period i

Cj

a number equal to the concentration ratio of period j

Value

a number


[Package DOSPortfolio version 0.1.0 Index]