TVMVP
Time-Varying Minimum Variance Portfolio
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>.
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CRAN Check Status
Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | WARNING |
| r-devel-linux-x86_64-debian-gcc | WARNING |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | 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 | WARNING |
| r-release-linux-x86_64 | WARNING |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (4 non-OK)
sizes of PDF files under ‘inst/doc’
‘gs+qpdf’ made some significant size reductions:
compacted ‘thesis.pdf’ from 482Kb to 216Kb
consider running tools::compactPDF(gs_quality = "ebook") on these files,
or build the source package with --compact-vignettes=both
sizes of PDF files under ‘inst/doc’
‘gs+qpdf’ made some significant size reductions:
compacted ‘thesis.pdf’ from 482Kb to 216Kb
consider running tools::compactPDF(gs_quality = "ebook") on these files,
or build the source package with --compact-vignettes=both
sizes of PDF files under ‘inst/doc’
‘gs+qpdf’ made some significant size reductions:
compacted ‘thesis.pdf’ from 482Kb to 216Kb
consider running tools::compactPDF(gs_quality = "ebook") on these files,
or build the source package with --compact-vignettes=both
sizes of PDF files under ‘inst/doc’
‘gs+qpdf’ made some significant size reductions:
compacted ‘thesis.pdf’ from 482Kb to 216Kb
consider running tools::compactPDF(gs_quality = "ebook") on these files,
or build the source package with --compact-vignettes=both
Check History
WARNING 13 OK · 0 NOTE · 1 WARNING · 0 ERROR · 0 FAILURE Mar 28, 2026
sizes of PDF files under ‘inst/doc’
‘gs+qpdf’ made some significant size reductions:
compacted ‘thesis.pdf’ from 482Kb to 216Kb
consider running tools::compactPDF(gs_quality = "ebook") on these files,
or build the source package with --compact-vignettes=both