HDShOP
High-Dimensional Shrinkage Optimal Portfolios
Description
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>.
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CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | 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 |
Check History
OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
Code & tests
Open call graph →Line coverage
–
Expression
–
Tests / Examples
–
Functions
65 22 exported
Complexity
1.8 avg / 17 max
Call network
65 nodes / 82 edges
Test coverage has not been measured for this package yet; nodes fall back to a neutral fill.
Lowest coverage
Per-function coverage is not measured for this package yet.
Code
Structure
Lines of code
4,093
Files
58
Compiled share
0%
Has compiled src
No
Language breakdown
API
Exported functions
22
Internal functions
43
Recent export changes
Testing & CI
Has tests
Yes
Test-to-code ratio
0.42
testthat edition
3
CI present
No
CI type
[]
PR gated
No
Docs
Return-value doc rate
100%
\dontrun example ratio
0%
Roxygen coverage
100%
Has pkgdown
No
NEWS present
Yes
Health & Security signals
Informational signals; not verdicts.
on.exit coverage
–
Unsafe pattern score
0
Dep constraint coverage
0%
Secret pattern count
0
Bundled 3rd-party code
2 items
Portability & License
Min R version
3.5.0
System requirements
–
C++ standard
–
License
GPL-3
License flags
SPDX valid, OSI approved
History
Versions
7
First release
2021-08-02
Latest release
2025-11-14
Avg cadence
216 days
Cold removal rate
–
Dep drift
1
LOC over versions
Per-file churn detail lives in the source pipeline: https://github.com/r-observatory/cran-code-metrics.