DHEA has been shown to increase bone density in aged women (post-menopausal), but in a menstruating female, it should only be used if serum levels of DHEA and DHEA-S are low.

The primary intervention for osteopenia is vitamin D and calcium fortification. Recent studies have shown that the vitamin D intake recommendations (RDA) are seriously inadequate for optimal calcium/magnesium balance and parathyroid function.

This is going to look extreme (given the existing RDA), but a just-published article suggests daily intake of 4000 IU of vitamin D.

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