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 


Author  Brian Lee Yung Rowe 
Maintainer  Brian Lee Yung Rowe <r@zatonovo.com> 
License  GPL3 
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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