Displaying 1 result from an estimated 1 matches for "shrinkestimator".
2013 Jan 06
0
fPortfolio-portfolio optimization
...olio.
My optimization problem is slightly different than a standard one such that I have a known set of asset returns. My problem is how to collect this information into my functions and pass them onto the optimization function.
I have written my own covariance estimation function using the "shrinkEstimator" as template. I will use the shrunk estimation of the covariance matrix with my own set of predicted returns. My code is below.
Many thanks,
Darius
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b=ts(ret.forecast[1,])
mu.pred=b
myEstimator=function(x)
{
stopif...