ComputeD

a number equal to the concentration ratio of period i

a number equal to the concentration ratio of period j

The function computes the \(D_{j,i}\) coefficients from Eq. (2.21) 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.

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

ComputeD: A helper function for computing D-coefficients used in the case of the overlapping sample BODNAR21dynshrinkDOSPortfolio

Description

Usage

Arguments

Value