ComputeBeta

<p>vector, the vector of the optimal shrinkage intensities computed in the previous step of the recursion.</p>

<p>The function computes the beta coefficients from Eq. (2.20) in BODNAR21dynshrink;textualDOSPortfolio,
which are used in the recursive computation of the dynamic shrinkage estimator of the GMV portfolio weights in the
case of overlapping samples.</p>

internal


Constructs dynamic optimal shrinkage estimators for the weights of the global
minimum variance portfolio which are reconstructed at given reallocation
points as derived in Bodnar, Parolya, and Thors<c3><a9>n (2021) (<arXiv:2106.02131>).
Two dynamic shrinkage estimators are available in this package. One using
overlapping samples while the other use nonoverlapping samples.

Erik Thors<c3><a9>n

DOSPortfolio

ComputeBeta: A helper function for computing beta coefficients used in the case of the overlapping sample BODNAR21dynshrinkDOSPortfolio

Description

Usage

Arguments

Value

References