tawny (2.1.6)

Clean Covariance Matrices Using Random Matrix Theory and Shrinkage Estimators for Portfolio Optimization.


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-3

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

Released about 1 year ago.