R Observatory: Metrics for HDShOP version 0.1.7

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

HDShOP

0.1.7Package record

High-Dimensional Shrinkage Optimal Portfolios

0packages dependsuggested by 1

3.7Kdownloads / year

74.3%test coverage

13/13flavors OK

Overview

About

Maintained by Dmitry OtryakhinCRAN page ↗GitHub ↗Issues ↗

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 doi:10.1016/j.ejor.2017.09.028, 2019 doi:10.1109/TSP.2019.2929964, 2020 doi:10.1109/TSP.2020.3037369, 2021 doi:10.1080/07350015.2021.2004897) 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) doi:10.1080/14697688.2020.1748214.

Changes in 0.1.7

References were updated.

From NEWS.md in the release

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("HDShOP", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("Otryakhin-Dmitry/global-minimum-variance-portfolio")

Development version from Otryakhin-Dmitry/global-minimum-variance-portfolio. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-hdshop

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled. We list this channel from recorded r2u download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-HDShOP

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-HDShOP

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed). We list this channel from recorded autoCRAN download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

Health

CRAN checks

13OK

CRAN check page ↗

Slowest check: 3.8 min · r-oldrel-windows-x86_64

Status changes

OK13 OK2026-08-05
NOTE12 OK, 1 NOTE2026-08-01
OK14 OK2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 0.1.7

README· In the repository, left out of the releaseVignettesNoNEWSYes · 100% structured · mentions 0.1.7Citation fileYes · cites a publicationWebsitenot declared in DESCRIPTION

Help pages: 22 (1 internal)includes a package overview page
Examples that run: 100%19 run in a plain check
Exported functions with examples: 100%
Documented parameters: 96%
Return-value docs: 100%
Help pages citing references: 55% with a bibliography file

How these are measured

Downloads

3.7K

CRAN downloads in the past year

Rank #10,355 · ~10/day · ~309/mo

Releases R versions

Daily download trend is not available in this view yet.

42430 days

99190 days

3.7K1 year

Compare downloads with other packages →

Also on127 r2u1 autocran117 c2d4u

How downloads are counted

Repository

Otryakhin-Dmitry/high-dimensional-shrinkage-optimal-portfolios ↗Account: Otryakhin-Dmitry

Moved from otryakhin-dmitry/global-minimum-variance-portfolio.

6Stars

2Forks

0Open issues

0Open PRs

0Releases

166Commits

2Commit identities

financial-mathematicshigh-dimensional-dataportfolio-managementshrinkage-estimators

License file reads as GPL-3.0 · 166 commits · Last activity 2025-11-18 · 0% stars, 30d

Responsiveness

How these are sampled

PRs merged (all time): 100%
Median days to close, 50 most recently updated closed issues: 11
Median days to close, 50 most recently updated closed PRs: 0

Stars over time

2025-09-25 · 52026-07-07 · 6

How these are measured

PracticesBeta

8 development-tooling and community-health practices detected across 6 families in the upstream repository

Checks run against github.com/otryakhin-dmitry/global-minimum-variance-portfolio on 2026-10-22.

Continuous integration (2)

GitHub ActionsR CMD check workflow

The R CMD check workflow runs on Linux, macOS and Windows, and on R-devel

Governance and community (1)

Contributing guide

Coverage (1)

Coverage reporting

CRAN release process (2)

cran-comments.mdCRAN-SUBMISSION

Show all practicesHide 2 practices

Research and citation (1)

codemeta.json

Lint, format, editor (1)

RStudio project

How this is detected·Detection ruleset v4 (2026-10-20)

Dependencies

Declared dependencies

6 external dependencies (excludes base and recommended)

Installing HDShOP adds 2 packages (1 with compiled code, 1.5 MB of source tarballs). Heaviest: rbibutils 1.1 MB, Rdpack 370 KB.

Depends (1)

R >= 3.5.0

Imports (2)

Rdpacklattice

LinkingTo (0)

none

Suggests (6)

ggplot2 testthat EstimDiagnosticsMASScorpcor waldo

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Suggested by 1

Suggests, most downloaded first

DOSPortfolio

How these are counted

Code & Tests

Datasets

People & History

People (5)

Dmitry Otryakhin

Author, Maintainer since 0.1.0 (2021)

Author

Author

Author

Author

Releases (7)

Pick two releases to compare their code metrics.

R
R 4.6.0 released · 2026-04-24
0.1.7Latest
record
2025-11-14 · current release · diff ↗
0.1.6
record
2025-10-19 · diff ↗
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
0.1.5
record
2024-03-25 · diff ↗
R
R 4.3.0 released · 2023-04-21
0.1.3
record
2022-11-08 · diff ↗ ·
added 3 exports
new_GMV_portfolio_weights_BDPS19_pgn, new_MV_portfolio_traditional_pgn, new_MV_portfolio_weights_BDOPS21_pgn
R
R 4.2.0 released · 2022-04-22
0.1.2
record
2021-10-23 · diff ↗
0.1.1
record
2021-09-03 · diff ↗
0.1.0
record
2021-08-02
R
R 4.1.0 released · 2021-05-18

Package metadata

First published: 2021-08-02
Total releases: 7 / 5 yrs
License: GPL-3 OSI
Minimum R: ≥ 3.5.0
Bundled data: 857 KB / 1 file
Download size: 929 KB

Appears in task views

Empirical Finance

Cite

Cite this package

Run in R for the authors' entry:

citation("HDShOP")

The package provides a citation file, so citation() returns the authors' own entry.

It points to 10.1080/1351847x.2025.2501637.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for HDShOP version 0.1.7 [Data set]. HJJB, LLC. Data release v2026-10-23. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-23, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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