Man pages for zatonovo/tawny
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... |
