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

cov_shrink | Shrink the covariance matrix towards some global mean |

denoise | Remove noise from a correlation matrix using RMT to identify... |

divergence | Measure the divergence and stability between two correlation... |

getPortfolioReturns | Utility functions for creating portfolios of returns and... |

optimizePortfolio | Optimize a portfolio using the specified correlation filter |

sp500 | A (mostly complete) subset of the SP500 with 250 data points |

sp500.subset | A subset of the SP500 with 200 data points |

tawny-package | Clean Covariance Matrices Using Random Matrix Theory and... |

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