tawny (2.0.2)

Provides various portfolio optimization strategies including random matrix theory and shrinkage estimators.


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.

Maintainer: Brian Lee Yung Rowe
Author(s): Brian Lee Yung Rowe

License: GPL-2

Uses: futile.logger, futile.matrix, PerformanceAnalytics, quantmod, RUnit, tawny.types, xts, zoo

Released over 8 years ago.