rUpdateOverlapping

a vector of shrinkage coefficients.

a numeric between 0 and 1. It is the concentration ration.

a numeric greater than 0, the previous value of the relative loss

prev_R

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.

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.

rUpdateOverlapping: The recursive estimation for updating the relative loss in the variance of the holding portfolio.

Description

Usage

Arguments

Value