This repository includes all code which was used to conduct the analysis in my thesis. The 'TVMVP' package has all necessary functions, except the expanding window which compares different covariance estimation methods.
In 'mega_rol_pred.R' you find the script for the expanding window evaluation of the minimum variance portfolios, and similarly for w/ returns constraint in 'MVP_w_returns_constr.R', and maximum Sharpe ratio portfolios in 'max_sharpe.R'.
The analysis can be found in 'OMX.R' (MVP), 'OMX_15_19.R' (MVP), 'SP500.R' (MVP), and 'Empirical_max_SR.R' (Max SR portfolio). Some which are included in the paper, and some extra which did not get included. Sadly, I cannot share the data that was used.
In 'SimulationStudy.R' you find the complete simulation study.
RDS-files with results can be found in the results-folder, simply run 'readRDS("results/which folder/file")' in order to load the results.
For any questions, please contact me on my email erik.lillrank@gmail.com.