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 |
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Author | Brian Lee Yung Rowe |
Maintainer | Brian Lee Yung Rowe <r@zatonovo.com> |
License | GPL-3 |
Version | 2.1.7 |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
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