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TVMVP  

Time-Varying Minimum Variance Portfolio
View on CRAN: Click here


Download and install TVMVP package within the R console
Install from CRAN:
install.packages("TVMVP")

Install from Github:
library("remotes")
install_github("cran/TVMVP")

Install by package version:
library("remotes")
install_version("TVMVP", "1.0.4")



Attach the package and use:
library("TVMVP")
Maintained by
Erik Lillrank
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-05-29
Latest Update: 2025-05-29
Description:
Provides the estimation of a time-dependent covariance matrix of returns with the intended use for portfolio optimization. The package offers methods for determining the optimal number of factors to be used in the covariance estimation, a hypothesis test of time-varying covariance, and user-friendly functions for portfolio optimization and rolling window evaluation. The local PCA method, method for determining the number of factors, and associated hypothesis test are based on Su and Wang (2017) <doi:10.1016/j.jeconom.2016.12.004>. The approach to time-varying portfolio optimization follows Fan et al. (2024) <doi:10.1016/j.jeconom.2022.08.007>. The regularisation applied to the residual covariance matrix adopts the technique introduced by Chen et al. (2019) <doi:10.1016/j.jeconom.2019.04.025>.
How to cite:
Erik Lillrank (2025). TVMVP: Time-Varying Minimum Variance Portfolio. R package version 1.0.4, https://cran.r-project.org/web/packages/TVMVP. Accessed 12 Jun. 2025.
Previous versions and publish date:
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Complete documentation for TVMVP
Functions, R codes and Examples using the TVMVP R package
Full TVMVP package functions and examples
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