# -------------------------------------------- # CITATION file created with {cffr} R package # See also: https://docs.ropensci.org/cffr/ # -------------------------------------------- cff-version: 1.2.0 message: 'To cite package "HDShOP" in publications use:' type: software license: GPL-3.0-only title: 'HDShOP: High-Dimensional Shrinkage Optimal Portfolios' version: 0.1.5 doi: 10.32614/CRAN.package.HDShOP abstract: Constructs shrinkage estimators of high-dimensional mean-variance portfolios and performs high-dimensional tests on optimality of a given portfolio. The techniques developed in Bodnar et al. (2018 , 2019 , 2020 , 2021 ) are central to the package. They provide simple and feasible estimators and tests for optimal portfolio weights, which are applicable for 'large p and large n' situations where p is the portfolio dimension (number of stocks) and n is the sample size. The package also includes tools for constructing portfolios based on shrinkage estimators of the mean vector and covariance matrix as well as a new Bayesian estimator for the Markowitz efficient frontier recently developed by Bauder et al. (2021) . authors: - family-names: Bodnar given-names: Taras orcid: https://orcid.org/0000-0001-7855-8221 - family-names: Dmytriv given-names: Solomiia orcid: https://orcid.org/0000-0003-1855-3044 - family-names: Okhrin given-names: Yarema orcid: https://orcid.org/0000-0003-4704-5233 - family-names: Otryakhin given-names: Dmitry email: d.otryakhin.acad@protonmail.ch orcid: https://orcid.org/0000-0002-4700-7221 - family-names: Parolya given-names: Nestor orcid: https://orcid.org/0000-0003-2147-2288 repository: https://otryakhin-dmitry.r-universe.dev repository-code: https://github.com/Otryakhin-Dmitry/global-minimum-variance-portfolio commit: ef1b7a9e3b5f4b47dd8bbabb43f1c7ba7d2dda2b url: https://github.com/Otryakhin-Dmitry/global-minimum-variance-portfolio contact: - family-names: Otryakhin given-names: Dmitry email: d.otryakhin.acad@protonmail.ch orcid: https://orcid.org/0000-0002-4700-7221