tawny: Clean Covariance Matrices Using Random Matrix Theory and Shrinkage Estimators for Portfolio Optimization

Portfolio optimization typically requires an estimate of a covariance matrix of asset returns. There are many approaches for constructing such a covariance matrix, some using the sample covariance matrix as a starting point. This package provides implementations for two such methods: random matrix theory and shrinkage estimation. Each method attempts to clean or remove noise related to the sampling process from the sample covariance matrix.

Package details

AuthorBrian Lee Yung Rowe
MaintainerBrian Lee Yung Rowe <r@zatonovo.com>
Package repositoryView on CRAN
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tawny documentation built on May 2, 2019, 2:48 p.m.