Description Usage Arguments Value Note Author(s) References
Compute the covariance matrix estimate using the Ledoit-Wolf shrinkage estimate
1 |
x |
xts or matrix of asset returns |
shrink |
shrinkage constant |
covariance matrix estimate
Ported to R from matlab code given at http://www.econ.uzh.ch/faculty/wolf/publications.html#9
Ross Bennett
TODO
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