Estimation and regularization for covariance matrix of asset returns. For covariance matrix estimation, three major types of factor models are included: macroeconomic factor model, fundamental factor model and statistical factor model. For covariance matrix regularization, four regularized estimators are included: banding, tapering, hard-thresholding and soft- thresholding. The tuning parameters of these regularized estimators are selected via cross-validation.

Author | YaChen Yan [aut, cre], FangZhu Lin [aut] |

Date of publication | 2016-04-25 15:32:07 |

Maintainer | YaChen Yan <yanyachen21@gmail.com> |

License | GPL-2 |

Version | 1.1.0 |

http://github.com/yanyachen/FinCovRegularization |

**banding:** Banding Opreator on Covariance Matrix

**banding.cv:** Select Tuning Parameter for Banding Covariance Matrix by CV

**FinCovRegularization:** FinCovRegularization: Covariance Matrix Estimation and...

**F.norm2:** The Squared Frobenius Norm

**FundamentalFactor.Cov:** Covariance Matrix Estimation by Fundamental Factor Model

**GMVP:** Global Minimum Variance Portfolio

**hard.thresholding:** Hard-Thresholding Opreator on Covariance Matrix

**Ind.Cov:** Independence opreator on Covariance Matrix

**MacroFactor.Cov:** Covariance Matrix Estimation by Macroeconomic Factor Model

**m.excess.c10sp9003:** 10 stock and S&P 500 excess returns

**O.norm2:** The Squared Operator Norm

**plot.CovCv:** plot CovCv object

**print.CovCv:** print CovCv object

**RiskParity:** Risk Parity Portfolio

**soft.thresholding:** Soft-Thresholding Opreator on Covariance Matrix

**StatFactor.Cov:** Covariance Matrix Estimation by Statistical Factor Model

**summary.CovCv:** Display a useful description of a CovCv object

**tapering:** Tapering Opreator on Covariance Matrix

**tapering.cv:** Select Tuning Parameter for Tapering Covariance Matrix by CV

**threshold.cv:** Select Tuning Parameter for Thresholding Covariance Matrix by...

**threshold.min:** Minimum threshold constant

banding | Man page |

banding.cv | Man page |

FinCovRegularization | Man page |

FinCovRegularization-package | Man page |

F.norm2 | Man page |

FundamentalFactor.Cov | Man page |

GMVP | Man page |

hard.thresholding | Man page |

Ind.Cov | Man page |

MacroFactor.Cov | Man page |

m.excess.c10sp9003 | Man page |

O.norm2 | Man page |

plot.CovCv | Man page |

print.CovCv | Man page |

RiskParity | Man page |

soft.thresholding | Man page |

StatFactor.Cov | Man page |

summary.CovCv | Man page |

tapering | Man page |

tapering.cv | Man page |

threshold.cv | Man page |

threshold.min | Man page |

FinCovRegularization

FinCovRegularization/NAMESPACE

FinCovRegularization/data

FinCovRegularization/data/m.excess.c10sp9003.rda

FinCovRegularization/R

FinCovRegularization/R/threshold.min.R
FinCovRegularization/R/soft.thresholding.R
FinCovRegularization/R/FinCovRegularization.R
FinCovRegularization/R/tapering.R
FinCovRegularization/R/RiskParity.R
FinCovRegularization/R/threshold.cv.R
FinCovRegularization/R/banding.R
FinCovRegularization/R/GMVP.R
FinCovRegularization/R/hard.thresholding.R
FinCovRegularization/R/Generic.CovCv.R
FinCovRegularization/R/tapering.cv.R
FinCovRegularization/R/StatFactor.Cov.R
FinCovRegularization/R/F.norm2.R
FinCovRegularization/R/MacroFactor.Cov.R
FinCovRegularization/R/O.norm2.R
FinCovRegularization/R/banding.cv.R
FinCovRegularization/R/FundamentalFactor.Cov.R
FinCovRegularization/R/Ind.Cov.R
FinCovRegularization/MD5

FinCovRegularization/DESCRIPTION

FinCovRegularization/man

FinCovRegularization/man/Ind.Cov.Rd
FinCovRegularization/man/hard.thresholding.Rd
FinCovRegularization/man/banding.Rd
FinCovRegularization/man/FundamentalFactor.Cov.Rd
FinCovRegularization/man/StatFactor.Cov.Rd
FinCovRegularization/man/GMVP.Rd
FinCovRegularization/man/threshold.cv.Rd
FinCovRegularization/man/MacroFactor.Cov.Rd
FinCovRegularization/man/summary.CovCv.Rd
FinCovRegularization/man/O.norm2.Rd
FinCovRegularization/man/m.excess.c10sp9003.Rd
FinCovRegularization/man/tapering.cv.Rd
FinCovRegularization/man/plot.CovCv.Rd
FinCovRegularization/man/FinCovRegularization.Rd
FinCovRegularization/man/threshold.min.Rd
FinCovRegularization/man/soft.thresholding.Rd
FinCovRegularization/man/tapering.Rd
FinCovRegularization/man/banding.cv.Rd
FinCovRegularization/man/F.norm2.Rd
FinCovRegularization/man/print.CovCv.Rd
FinCovRegularization/man/RiskParity.Rd
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