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# CITATION file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "TVMVP" in publications use:'
type: software
license: MIT
title: 'TVMVP: Time-Varying Minimum Variance Portfolio'
version: 1.0.5
identifiers:
- type: doi
  value: 10.32614/CRAN.package.TVMVP
abstract: 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)
  <https://doi.org/10.1016/j.jeconom.2016.12.004>. The approach to time-varying portfolio
  optimization follows Fan et al. (2024) <https://doi.org/10.1016/j.jeconom.2022.08.007>.
  The regularisation applied to the residual covariance matrix adopts the technique
  introduced by Chen et al. (2019) <https://doi.org/10.1016/j.jeconom.2019.04.025>.
authors:
- family-names: Lillrank
  given-names: Erik
  email: erik.lillrank@gmail.com
  orcid: https://orcid.org/0009-0001-3345-7694
- family-names: Yang
  given-names: Yukai
  email: yukai.yang@statistik.uu.se
  orcid: https://orcid.org/0000-0002-2623-8549
preferred-citation:
  type: manual
  title: 'TVMVP: An R Package for Time-Varying Minimum-Variance Portfolio Optimisation'
  authors:
  - family-names: Lillrank
    given-names: Erik
    email: erik.lillrank@gmail.com
    orcid: https://orcid.org/0009-0001-3345-7694
  - family-names: Yang
    given-names: Yukai
    email: yukai.yang@statistik.uu.se
    orcid: https://orcid.org/0000-0002-2623-8549
    affiliation: Department of Statistics
  year: '2025'
  notes: R package version 1.0.3
  url: https://CRAN.R-project.org/package=TVMVP
repository: https://erilill.r-universe.dev
repository-code: https://github.com/erilill/TV-MVP
commit: 39e16cc8385849e8c40c5722aabeaf1eea0c0031
url: https://github.com/erilill/TV-MVP
date-released: '2025-06-27'
contact:
- family-names: Lillrank
  given-names: Erik
  email: erik.lillrank@gmail.com
  orcid: https://orcid.org/0009-0001-3345-7694