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.

install.packages("tawny")

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