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

cov_shrinkShrink the covariance matrix towards some global mean
denoiseRemove noise from a correlation matrix using RMT to identify...
divergenceMeasure the divergence and stability between two correlation...
getPortfolioReturnsUtility functions for creating portfolios of returns and...
optimizePortfolioOptimize a portfolio using the specified correlation filter
sp500A (mostly complete) subset of the SP500 with 250 data points
sp500.subsetA subset of the SP500 with 200 data points
tawny-packageClean Covariance Matrices Using Random Matrix Theory and...
tawny documentation built on April 21, 2018, 1:05 a.m.