Class_MeanVar_portfolio |
S3 class MeanVar_portfolio |
CovarEstim |
Covariance matrix estimator |
CovShrinkBGP14 |
Linear shrinkage estimator of the covariance matrix (Bodnar et al. 2014) |
InvCovShrinkBGP16 |
Linear shrinkage estimator of the inverse covariance matrix (Bodnar et al. 2016) |
MeanEstim |
Mean vector estimator |
MeanVar_portfolio |
A helper function for MeanVar_portfolio |
mean_bop19 |
BOP shrinkage estimator |
mean_bs |
Bayes-Stein shrinkage estimator of the mean vector |
mean_js |
James-Stein shrinkage estimator of the mean vector |
MVShrinkPortfolio |
Shrinkage mean-variance portfolio |
new_GMV_portfolio_weights_BDPS19 |
Constructor of GMV portfolio object. |
new_GMV_portfolio_weights_BDPS19_pgn |
Constructor of GMV portfolio object. |
new_MeanVar_portfolio |
A constructor for class MeanVar_portfolio |
new_MV_portfolio_traditional |
Traditional mean-variance portfolio |
new_MV_portfolio_traditional_pgn |
Traditional mean-variance portfolio |
new_MV_portfolio_weights_BDOPS21 |
Constructor of MV portfolio object |
new_MV_portfolio_weights_BDOPS21_pgn |
Constructor of MV portfolio object |
nonlin_shrinkLW |
nonlinear shrinkage estimator of the covariance matrix of Ledoit and Wolf (2020) |
plot_frontier |
Plot the Bayesian efficient frontier (Bauder et al. 2021) and the provided portfolios. |
RandCovMtrx |
Covariance matrix generator |
Sigma_sample_estimator |
Sample covariance matrix |
SP_daily_asset_returns |
Daily log-returns of selected constituents S&P500. |
test_MVSP |
Test for mean-variance portfolio weights |
validate_MeanVar_portfolio |
A validator for objects of class MeanVar_portfolio |