Description
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 Thorsén (2021) (<arXiv:2106.02131>). Two dynamic shrinkage estimators are available in this package. One using overlapping samples while the other use nonoverlapping samples.
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| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
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r-devel-linux-x86_64-debian-clang
CRAN incoming feasibility
Maintainer: ‘Erik Thorsén <erik.thorsen@math.su.se>’ The Description field contains (<arXiv:2106.02131>). Two dynamic shrinkage estimators are available Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
NOTE
r-devel-linux-x86_64-debian-gcc
CRAN incoming feasibility
Maintainer: ‘Erik Thorsén <erik.thorsen@math.su.se>’ The Description field contains (<arXiv:2106.02131>). Two dynamic shrinkage estimators are available Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
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r-devel-linux-x86_64-fedora-gcc
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r-devel-macos-arm64
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r-devel-windows-x86_64
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r-oldrel-macos-arm64
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r-oldrel-macos-x86_64
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r-oldrel-windows-x86_64
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r-patched-linux-x86_64
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r-release-linux-x86_64
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Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
NOTE
r-devel-linux-x86_64-debian-clang
CRAN incoming feasibility
Maintainer: ‘Erik Thorsén <erik.thorsen@math.su.se>’ The Description field contains (<arXiv:2106.02131>). Two dynamic shrinkage estimators are available Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
NOTE
r-devel-linux-x86_64-debian-gcc
CRAN incoming feasibility
Maintainer: ‘Erik Thorsén <erik.thorsen@math.su.se>’ The Description field contains (<arXiv:2106.02131>). Two dynamic shrinkage estimators are available Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
Dependency Network
Version History
new
0.1.0
Mar 10, 2026