ConvexCombination

lambda

<p>Computes a convex combination between two vectors.</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

Dynamic Optimal Shrinkage Portfolio

Taras Bodnar

Nestor Parolya

ConvexCombination function

Computes a convex combination between two vectors. — ConvexCombination

Computes a convex combination between two vectors.

ConvexCombination: Computes a convex combination between two vectors.

Description

Usage

Arguments

Value